Just for all those other people out there that have never worked with Project Server before I thought I would share a small tip that might end a few hours of frustration!

The source of frustration – the Access Denied message that users (or your own account) get when you could have sworn you had given them access. 

Well, as it turns out, adding users to the groups in PWA does not let those users have the correct access until you add them via the Project Web App Server Settings section (Manage Users) – http://[Your Server]/PWA/_layouts/PWA/Admin/ManageUsers.aspx

Add your people in there and then allow the correct permissions.  They should then be able to get into the main PWA page.   You would have thought that giving someone Site Collection Admin permission would be enough, but no.

I need to see if there is a way of getting all users that are imported into SharePoint Profiles from AD into the Users list noted above.  Would save a huge amount of time, then elevate permissions as and when required.