Thanks for the response, pigdog! The directory was most definately not there though....
Anyway, bit of an odd one this!
It turned out that the problem was with my switch. Spanning Tree was stopping the NIC from communicating in the crucial DHCP interval and this was preventing the diskless boot from completing properly.
Once I turned it off (PortFast or whatever) the system booted fine.
The /usr/pluto/diskless directory was then created by the script that also created the MD's sub-directory. So it would seem that it isn't there until you create your first MD (i.e. it isn't created by the installation system).
Anyway, I'm now a step further on! Thanks to everyone who had a look at this.