OK. Looks like none of the "Super Users" understand the issue here - this is my assumption based on how long this one has been left. So here is a response I have had from one support company which might help someone out there. If anyone from Microsoft can concur it would be really appreciated. I won't be marking as solution, because it isn't it's an explanation - which could be right or wrong.
1. When you list the records directly from the AAD Users table, CRM runs a HTTP GET against the external table, making all the data visible, but doesn't store anything on the table schema.
2. When you create a relationship with a virtual table, dynamics actually creates two fields, the id and name. So, if you associate a record with a virtual entity record, just those fields are stored in the "normal" entity.
3. Dynamics doesn't allow us to build queries with related virtual entities nor display data of related virtual entities because it doesn't execute the get in the "normal" table context.
So final explanation stated there is no way to achieve what I want. Crap. Honestly. This is just a table relationship. No wonder so few people are using Model Driven Apps. Low Code, No Code, No Flexibility, No choice.......stick with C# and Azure App Services. Model Driven Apps are same as "Lightswitch" (over a decade ago) from the good ol'days, but with less flexibility.
Thanks.
John.