I think you've cracked it !
After reading your post I did a little experimenting:
With either Dunai's or my King's model, if I clear my temporary Internet cache, then download the kmz whilst GE *is* running, the textures don't appear.
But if I delete my temporary Internet cache, download the misbehaving kmz when GE *isn't* running, the textures do show up.
The difference is that in the second instance, GE fetches the kmz from temporary local storage. Which, like you say, works perfectly.
It certainly explains why some people see the textures straight away, when others don't.
I removed the apostrophe from my kmz title and everything appears to work ok now.
Thanks for your advice and kind comments.
James