I’m using the Colours panel in the customizer but now that you’ve mentioned it I also have it set to transparent in the Page Header options.
I see my mistake, my fault, not a bug.
When doing the initial layout I wanted the entire site to have a transparent menu so I removed the menu background colours using the customizer. Then when I went to do the page headers I just ticked Transparent assuming it was required for the background content to show through.
You just implement it a different way to what I’ve been used to. But your logic makes more sense, if you want a transparent menu your going to have to set a photo or something per page so setting the menu transparent at page level does make more sense.