Julian Moss G4ILO appears to have found a bug in the Yaesu VX-8E's software. He says...
After changing the power level, the first transmission is always at high power. The selected power level is only produced on the second and subsequent transmissions.
I don't know if this is a general fault or something that only affects my radio. I would be interested to know if anyone else can confirm my findings.
So if you have one of these little beauties please try it out and let Julian know via his blog. Obviously the same applies for the non-EU versions too.