Ah, sorry. I maybe confused the matter in my original post.
Here's an explanation by example.
If I hold the "D" key to move horizontally right I cross 10 Unity units in 10 seconds. If I hold the "D" and "W" keys, to move diagonally left and forward, I cross the same horizontal distance in half the time; 20 units in 10 seconds.
It's as if the forward component is being added to the horizontal somehow.
The same is the case in the other axis too. If I move forward and then add a horizontal component, my forward movement rate is doubled.