Hi Mark,
I've been in exactly the same boat as you! But today I cracked it, follow these instructions to finalise the disc:
1) Select DVD, go to the menu where you can choose the chapters you have created (by pressing the 'menu' button on the controller).
2) Press the 'up' arrow on the controller until a new menu appears with a box saying 'PAL, DVD, EDIT'.
3) Press the right arrow button and table will appear showing information about the disc. One of the pieces of information says 'Finalized: NO'.
4) Press right again until the fourth icon is selected called 'Finalized Disc', hit 'YES' and your away.
I hope this helps you - If it doesn't work or my instructions are not clear let me know.
Regards,
Sam
Sam B
December 2008