When I ref all home, the x and y axis move to the home switch a back off a small distance which is noticeable.
The Z axis moves to the home switch but there is no visible back off.

Is this normal?

Thanks Mike

What is your  Z axis Steps per unit set to? Is your Z Axis on ful step or half step by any chance?
Hood

Also have a look at the Z DRO - does it move. It could be you have backlash in your Z axis, and the movement is taken up by this. Cut down the speed of the homing, and this will make it clear what moves where - it might be better to cut of the auto-zero as well while you check it out.