Cool - thanks. I found a good (faster) way to get the board to display correctly in the 3D view plus have a valid mechanical layer.
1. Draw the final board in CAD including the mousebite bridges, and export it to both .STEP and .DXF
2. In Altium, create a new PCB Project, add a PCB, the use Place -> 3D Body to place the .STEP model at location 10,10
3. From the 3D view, use Define -> Board Shape -> Define from 3D Body, and select the .STEP model - this creates a valid board for the 3D view with all the internal cutouts etc.
4. Delete the .STEP model - no longer needed
6. Import the .DXF file at location 10,10 into your mechanical layer (needs to be a different layer to that used by the embedded boards for their outline) - this gives you the board outline which will be submitted with gerbers
7. On the same layer, use the Design -> Board Shape -> Create Primitives from Board Shape to add the milling path - select Include Cutouts and Route Tool Outline options.
8. Select a segment of the outer milling path, press Tab to select the chain, and delete it - leaving only the inner milling paths
9. Set the Origin to 10,10 to reset the 0,0 position.
10. Use the Place -> Embedded Board Array/Panelize function to place your embedded boards onto their locations on the panel
11. Place the mousebite PCB footprints (drill patterns) in the correct locations on the board
12. Create Gerbers and Drill files
It sounds as though Step 7 and 8 above may not be required - I'll try submitting the gerbers without the milling data for the internal cutouts - if the fab house recognises the outlines as a cutout then than makes it even easier
EDIT: Tried this - without the milling data the boards do not display correctly in the preview at JLCPCB - they show lines, but not cutouts. I'll have to check this with them as to whether the final boards would be milled out correctly. With the milling paths added as per step 7 and 8, the board preview is correctly displayed with the cutouts.I'm a newcomer to Altium and am still learning the workflow, having previously used KiCAD and then Macaos Gallery to create the "panels".