Keras/Theano custom loss calculation - working with tensors
I think I might have finally just solved this myself. 

1) I changed my Keras backend to use TensorFlow instead of Theano, so that I could use:

tf.boolean_mask


This command was not available under the Theano backend and thus giving me errors.

2) I had to change my code slightly to work with the correct dimensions. It now reads:

WherePredicted1 = K.greater( y_pred[:,1],0.5) 
ExtraDataWherePredicted1 = tf.boolean_mask(MyExtraData, WherePredicted1) 


Still finding it hard to debug/test a custom loss function, but it's looking like feasible values to might well be correct.