OK I can't believe how thick I was being.
There are 2 settings, one for the front page - make this a wordpress page that you have populated with your landing page content.
The second is for a "Posts page: ". Create any old empty page using the wordpress editor. I created a totally empty page called "blog". Select this - voila - you have a blog URL and a CMS for a web site.
Here is a screengrab - so you don't have to be as thick as I was.