Thanks guys for all your constructive replies...
As expected the general concensus is that this clearance/wording is ambiguous and clarification from the crew is required.
I can confirm that this was unlikely to have been the "heading de jour". There was a significant wind aloft and the heading query may well have been related; I remember commenting on this at the time. I was also aware of another aircraft in close proximity and he could well have been inbound to an adjacent airfield.
One other possiblity springs to mind...
This sector is used a lot for training and it might be possible that when the "new" controller asked us to "report heading established" he actually meant "radar heading".
Interestingly, this caused quite a discussion on the flight deck both during the event and afterwards... but that's another story.