Ah ha! Apple were wrong.
I got it going at last.
It's all down to Bus Power.
On Audio AG Support's advice I had a look at the System Report again. There was nothing showing under Thunderbolt, however when I looked at USB, I could see the Thunderbolt 3 to 2 adapter. I then tried connecting to the Front Ports, without success. But when I reconnected to the rear Thunderbolt Port again I got a message saying that there was not enough power for the device and I should remove some other devices. (All 4 are in use).
The RME has external power, which is weird, but I disconnected my external hard-drive and suddenly the RME works.
I run three monitors, two of which are connected to the rear Thunderbolt Ports and the other HDMI. I have a small USB dock connected too.
What I have found, is that if I connect the external Hard Drive to the Front Ports on the Mac Studio, it works and does not interfere with the RME Fireface. It's a bit of pain having a wire hanging out of the front of the Mac Studio, but it will have to do.
So there it is guys. Despite what Apple say, the New Mac Studio will work with the RME Fireface 400, but don't try to run an External Hardrive off of the rear Thunderbolt Ports.
If you guys at RME need any data, just let me know and I'll send you what you need.
Thanks