Connecting KSZ8863RLL to a MAC using RMII
Ok. I've finally got it working.

There were two issues:
Firstly, the MDIO and MDC lines do need connecting from the Lantronix to the switch. I added a 1.5K pullup to the MDIO line and also pulled up SPISN (pin 39) to disable SPIQ.

Secondly, the Lantronix by default uses a PHY address of 0 when sending the read register commands over the MDIO/MDC. The two PHYs on the switch use addresses 1 and 2 so the switch was igoring them. The firmware in the factory-shipped Lantronix doesn't have scope for changing the PHY address but the latest firmware on their website (xPico200_1.9.0.1R4.signed.rom) does.  I reconfigured the Lantronix to use PHY addr 1 and everything seems to work now.

eth0 link up, can ping etc..