In case this helps others, it looks like Microsoft may have made some changes to Role assignment, at least in my tenants.
I don't see an option to assign a role to an enterprise application any longer, the application just doesn't show up in either of my tenants, though I have previously assigned the roles in my live tenant.
To get round this, I have had to create a new security group in Entra and ensure that roles can be assigned to the group
From there, I needed to add the enterprise application, and assign the roles to the group.