NOTE: it turns out I was doing it wrong. After selecting the recovery option a red triangle with an exclamation point is show. At which point you need to press volume+ and power to show the next menu.
Next I tried using latest RUU (2.10) but got Error 170 Usb Connection Error. One post mentions under 'update':
HTC has released a new Froyo OTA update. You can install this directly as an RUU. You may need the latest version of HTC Sync for this version. There appear to be a lot of issues installing this RUU due to drivers. I'd recommend you install the earlier version and update OTA to this version (you can do this manually too).
Using 1.21.405.2 gave me ERROR  customer id error. After some poking around, turns out that branded phones don't have a CID... That's what you get with a phone from Hong Kong I guess. However I'm not really sure if that's true...
Eventually I came across this thread which mentions fixing the wifi error with this update: Froyo (2.09.405.8) update - Windows not required. It all installed correctly and after starting it up, it ran through the first-time setup and this time said it detected a wireless network. Success! I didn't try the windows RUU for 2.09 so I'm not sure if that will work.
Next I downloaded the update manually as per the instructions here. The phone started downloading OTA_Bravo_HTC_EU_2.10.405.2-2.09.405.8_release567cypyi0feo4th5.zip so I'm using that instead of the one in the post.
This thread has a better discussion of the problem, with some simple instructions on how to revert and reload when a goldcard isn't needed.