If I have a Device selected in the MX-Editor Tree (e.g. DVR or HDTV), then drag IR codes onto keys in the simulator, does this apply those IR codes to the keys of ALL devices in that category (e.g. to all devices in the WATCH category)? If I ONLY want the codes to be used for that specific device do I need to select each page of that device in turn, then drag the codes onto the buttons in the simulator? (i.e. repeating this for each page??).

You need to select each page under the device you want to program.

So if there's more than one page I need to repeat all the button assignments for every page for that device?
Sounds a little onerous....

No, the main hard buttons are set per-device. Also, if you're looking to duplicate the same functions across multiple devices look to the punchthrough feature.

This doesn't square with what I'm seeing: if I select HDTV in the tree (the device, not one of its panels), then drag an IR code onto a button on the main simulator keyboad (from the Universal Browser), that IR code also gets assigned to the same button on ALL of my other "watching" devices (i.e. not just to that button for HDTV). Is this a bug in MX-Editor?

No, when you do that the command gets assigned to the WATCH or LISTEN menus, which are actually treated as separate devices when it comes to hard buttons. You'll notice that when you only click on the device name the simulator still shows the WATCH or LISTEN screen, since that's still what's active.

If you want to assign something to, say, CH+ under HDTV, you must first select one of the HDTV pages - which makes that device active - and then assign your command.

Punchthroughs are used to assign commands to multiple devices at once (such as volume).