This problem was caused by a problem with the DynamicHeight property of a field (or actually a number of fields).
Despite the 3 address fields in "header 2" not being more than 4 lines high, there is a problem with the calculation by AX report generator and this was causing the second header to spill over onto a new page (page 3), even though there was plenty of room for it on page 2.
The fix in this case was to ensure the dynamic height property of any filed in "header 2" was set to no.