I guess I should have responded to the list with a result and a thank you. Rob was completely correct - CPCONIO IUCV grabbed the midnight message. The other thing that I could do to stop the midnight message locking up the terminal was to do TERM HOLD OFF.
I had a separate test system that I could play with so a combination of DEFINE TIMEZONE & SET TIMEZONE commands allowed me to have as many tests as I needed (in this case - only 1). Thanks to Rob & everyone else who responded. Colin Allinson Amadeus Data Processing GmbH