I finally managed to get the dashboard installed!
After all the time I spent banging my head on the desk it turned out to be rather simple.
The problem I was getting was it appeared to install fine, until the very last moment and then it would roll-back all the changes.
Turns out it was Server 2008 R2's UAC getting in the way.
Where as an EXE allows you to right click and run-as Administrator an MSI doesn't, but since it then prompts later for elevation I presumed everything was fine and dandy. Not so...
In the end I ran CMD as Administrator and then launched the MSI from there with msiexec /i and it ran through and installed fine.
The simple things eh?
On that note, Microsoft have a couple of really good blog posts with some handy SQL queries that create some really good dashboards.