OK, so I've spend ages playing with how I've got my GUI Layout and Set GUI Colour setup. I don't have 'Apply Globally' checked, but it's still affecting other objects in my scene. Another game object, with it's own FSM, and I set the mouse cursor to a texture - that texture is tinted with the GUI colour I've used on the HUD.
This makes no sense. I don't have apply Globally set - so there should be no interference.