Strange LED problem (faulty RGB LED on eBay)

Also for testing they are indeed quite bright

Yes a lot of people are fixated on using 20mA when that is the maximum but some LEDs are just too bright at this current, especially if you are viewing them directly as opposed to through some sort of diffuser or using them to illuminate something.

I can't imagine that using too high resistor values would invoke this behaviour,

To be fair I don't think he was suggesting it would.

I have some SMT LEDs that are marked with the cathode mark, but they clearly work the opposite of the markings, so I can only assume its a manufacturing error,

I have some of those as well. It could be however a data sheet error, or in fact another type of LED that is being passed off at that type number. That is the problem with China eBay components, you never know what you will get.