It was one or both of two things I did:
1. I downloaded the iso from the FIRST link above, not the second.
2. I copied the Sheepshaver app itself into the OS 9 folder I was setting up.
I then set it up again from scratch, and it worked, so I was able to install OS 9
The next thing - and this is either easy or not - is to convert the OS 9 into a .sheepvm, as I will not be using OS 9 a great deal (at least until / unless it proves stable) and don't want to mess about copying the preferences and nvram files around so the right version launches.