Hello Graham, first of all: your setup looks okay to me and I am able to run your testfile (pdf) on a Mac exactly as you described your steps. So I think that we need to do some more bug hunting.
I have the following set in my environment
KPATHSEA_DEBUG=-1 KPATHSEA_DEBUG_OUTPUT=c:/kspsluatex.log TEXMF=C:/msys/1.0/trunk/build/texk TEXMFCNF=C:/msys/1.0/trunk/build/texk TEXMFLOG=c:/texmflog.log
At the end of c:/kspsluatex.log I see:
kpathsea: Running mktexpk --mfmode / --bdpi 72 --mag 1+0/72 --dpi 72 cmr10 luatex.exe: fatal: kpathsea: CreateProcess() failed for `mktexpk --mfmode / --bdpi 72 --mag 1+0/72 --dpi 72 cmr10' (Error 2)
I wonder what your exact output looks like (without the KPATHSEA_DEBUG output). This for example is what I have:
This is LuaTeX, Version beta-0.53.0-2010032418
(./ptest2.tex [1{/opt/texlive2009/texmf-var/fonts/map/pdftex/updmap/pdftex.map}
] )
Output written on ptest2.pdf (1 page, 13391 bytes).
Transcript written on ptest2.log.
I assume that your problem might be due to a missing/incomplete/... pdftex.map. If you repeat your steps with pdftex, does it work OK? What does KPATHSEA_DEBUG tell you about loading pdftex.map file? Can it find one? Does "kpsewhich pdftex.map" gives you any output? Inside the pdftex.map I have
cmr10 CMR10