I finally managed to find out why FCK wasn't loading my CSS files, even though I did have CSSDefaultMode set to "dynamic".
Something was going wrong with the loading of the FCKCSS.aspx file: rather than outputting the CSS containing import statements for my own CSS, it outputed an error message saying "Cannot redirect after HTTP headers have been sent.".

This turned out to be caused by my site having Whitespace Compression on.
Don't ask me how whitespace compression can affect the HTTP headers, but that's what happened, apparently. Switching the compression off made the whole thing work.

DNN has an option to exclude files from compression. You can use that option.

Unfortunately I did only put it in as a footnote (although it was the reason I was looking through the forums originally), so I don't think anyone would have noticed it.

My 'fix' was to, in the fckconfig(/secure).js, set FCKConfig.ForcePasteAsPlainText = true;

Obviously it's not ideal for some people, but in our case it worked out well. We had a problem previously of people pasting from word after formatting there and basically breaking consistancy. By forcing plain text, we make them use the styles we have set up in the 'Style' drop down, after removing the Format, Font, and Size options. Kinda restricted, yeah, but our users aren't quite as tech literate as we'd like :)

Not sure if that helps at all, but that was our solution.

Best of luck finding a real answer though.