I've cracked the problem but don't know why Google Chrome is behaving in the way it is.
The issue is with the domain name format I am using. I am using a new .UK style domain which doesn't include the .org or .co bit... etc...
domain.uk
Released June 10th in the UK by Nominet. I setup the site with this new format Domain to start with and had the problems
Google Chrome does not like this type of domain in accepting cookies, possibly because it thinks you can't have a cookie from a TLD ????? I think Chrome isn't realising this domain.uk is now valid for hosting websites. I'm amazed I can't find any reference on the Net about this bug. Perhaps someone else can find it for me ?
I did a fresh install of both domain.uk and domain.org.uk with WP3.9.1 and a fresh clean DB. No plugins installed nor enabled. Simply enabled Multisite with Sub-domain install and after logging out it all went wrong....
If you setup wordpress & the 'network' on domain.uk Chrome would reject the cookies being sent.
If you setup wordpress & the 'network' on domain.org.uk Chrome worked absolutely fine.
Internet Explorer would always work no matter which domain type you used in the MU setup. I think I have discovered a bug in Google Chrome therefore. It's not the first time apparently. I believe it used to not like NHS.UK as a domain when that was released.
The workaround here will not be suitable as a fix
http://tommcfarlin.com/resolving-the-wordpress-multisite-redirect-loop/
because it's incompatible with Domain Mapping because you mustn't set COOKIE_DOMAIN
I'm wondering how many other people are confusing the real root cause the cookies are being rejected is due to browser interpretation of the Cookie RFC's etc...
So, try an alternative domain name is my advice for anyone who hits this problem.