Thanx for the posts guys.
The Orange doesn't have an FX loop, so I'm using it infront of the amp.
When I 1st noticed the problem, I used it infront of another amp to test it out and it worked fine.
I'm using the delay for a 'Dirty Reverb' type sound, otherwise I usually would use Delay and Modulation FX in an amps loop. This isn't an option with the Orange as it doesn't have an FX loop :)
It's been suggested to me that it may be an impedance problem, but I don't know for sure.
Craig