Hi Jack,
Yes the Coordinator has Zigbee Coordinator AT installed (XB24-ZB Version 20A7).
The router has Zigbee Router AT installed (XB24-ZB version 22A7)
On the shield itself there is only the associate LED which is flashing on both devices. The Arduino board has the TX and RX lights - TX flashes once on the sender within the delay interval. Also a single light marked L on the Arduino - which is on on both boards.
Also the shield has 2 jumpers labelled XBee/USB - both are currently set to USB...I would wonder if that needs changing on the Coordinator...but the other device seems to be working ok sending it to the putty session
Both have a PAN ID of 2001 - with the router set to verify the channel when joining so I can't see anything hugely obvious