mdw_purge_data_ long runtime
So finally sorted this out.  There was an orphaned instance within the MDW.  I removed this, which took at least a day to kill off.  Trying to create the indexes failed through the gui due to a time out.  Using activity monitor I could see that there were still huge waits on the server.  I stopped all data collection for the MDW and disabled all the jobs associated, including the purge job.  I then stopped this job as it was still running.  Created the indexes using t-sql.  Re ran the jobs and I am now back with the baseline for this server.  I have gone from over a day to purge data to about 15 minutes so all in all much happier.