OK, I tried one of them in SmartThings and it works fine so I guess there must be something off with the HE setup.
Just to make sure HE ZigBee side was still OK and not experiencing any general problems, I paired another Xiaomi Aqara Temperature / Humidity sensor and it paired fine and is happily chatting away, routing via the Aqara light switch.
Out of interest, which XBEE and settings do you use on it? Mines setup as per the thread at Everything Xbee