Following on from the previous observation that not all rods use the same thread, I have have made a bit more progress in getting the various makes of accessories to work together.
It seems there are two common threads in use. The cheaper sets seem to use M4 0.7, and the more expensive ones (and most of the snazzy accessories) appear to have 1/4" UNC thread.
(many thanks to Adam W for identifying the UNC thread for me!)
Anyway, a bit of messing about in the workshop tonight with my state of the ark Zyto lathe has managed to produce a few adaptors like:
I made a couple of adaptors that also went from 1/4" UNC female to M4 male for use with the magnet and chain add ons.