When they made their initial call to LGW tower they said that they where a "Pan" aircraft, surely this sort of issue would of warranted a Mayday at least ?
Not necessarily.
Mayday = threatened by grave and imminent danger and require immediate assistance whereas Pan = state of urgency.
Either way I think you'll find ATC will treat it as an emergency.
The fact they were able to fly around for a few hours proves, I would suggest, that this was not a Mayday by definition.