Thanks very much for your response, totally missed that option (despite it being quite obvious). I'm using 1.9.0 by the way, I hadn't mentioned it before.
I just tried it (set it to 'disable'), however, it doesn't seem to quite fix it. The resulting behaviour is a bit different though. This is the traffic received on the server:
Fri Aug 19 12:56:09 2016 us=120493 Peer Connection Initiated with [AF_INET]91.183.42.113:1194 Fri Aug 19 12:56:10 2016 us=727470 Peer Connection Initiated with [AF_INET]91.183.42.114:1194 Fri Aug 19 12:56:10 2016 us=727881 Peer Connection Initiated with [AF_INET]91.183.42.113:1194 Fri Aug 19 12:56:10 2016 us=728777 Peer Connection Initiated with [AF_INET]91.183.42.114:1194 Fri Aug 19 12:56:10 2016 us=729035 Peer Connection Initiated with [AF_INET]91.183.42.113:1194 Fri Aug 19 12:56:11 2016 us=97058 Peer Connection Initiated with [AF_INET]91.183.42.114:1194 Fri Aug 19 12:56:11 2016 us=757382 Peer Connection Initiated with [AF_INET]91.183.42.113:1194 Fri Aug 19 12:56:12 2016 us=97131 Peer Connection Initiated with [AF_INET]91.183.42.114:1194 Fri Aug 19 12:56:14 2016 us=97201 Peer Connection Initiated with [AF_INET]91.183.42.113:1194 Fri Aug 19 12:56:14 2016 us=575573 Peer Connection Initiated with [AF_INET]91.183.42.114:1194
So, traffic is still coming from both WAN links, however, now the source port on both links is 1194. Before, one was 1194 and the other WAN link used a random source port. Not sure if it's really relevant.
Another funny thing is the following: I now have the second WAN link set to failover-only, but it's still being used to load-balance local traffic, even with lb-local set to disable. The only way I can stop the load-balancing is by completely disabling the second WAN interface manually.
Please let me know if you need more info or if you want me to try something. Thanks for your help.