Seems my earlier optimism was a tad misplaced. I come back a short time later and the X4150 is sitting there at the interactive prompt you get when doing a network boot. So the install finished just fine but then it booted off the network again.
(See: I knew it was a good thing not to default to install. It could have installed itself over and over in a loop.)
The cause is reasonably obvious - either the drive isn't listed as bootable or the boot order in the BIOS is wrong.
This is where Ben's tip saved me either a bit of fiddling or a walk down to the machine itself.
I get into the BIOS, and the boot order shows me the DVD, the 4 network ports, and the disk I installed to. In that order. OK, I move the disk up and reboot.
Success! We boot off the hard disk.
(There's still an open question here: I want to have all four disks bootable just in case I lose one, and I'll set them up as two sets of mirrors - one for running, and one for live upgrade. I still need to work out how to add the rest.)