So I RTFM and found a better explanation on page 131 of the Protel 99SE Handbook so I'm replying to my own post to stop anyone else looking it up.
But unfortunately it doesn't work entirely as expected. If you make changes on the master channel schematic nothing is updated automatically on the additional derived channels. To update the derived channels you have to delete them and recreate them, in the same way as you created them, by following the procedure below:
1) Create links to the master channel schematic (e.g. CH_1.SCH) for each additional channel you need. In the ddb folder view, click on master channel schematic CH1.SCH to select it. Right click to bring up the context menu and select Copy. Right click again to bring up the context menu again and select PasteShortcut to create a link. Repeat the PasteShortcut until you have as many additional channel links as you need.
2) Rename the newly created links to CH_2.SCH, CH_3.SCH etc.
3) On the top level sheet, edit the sheet symbols to reference filenames CH_1.SCH, CH_2.SCH, CH_3.SCH etc
4) While still on the top level sheet, use "Tools/Complex To Simple" to "flatten" the design. This step seems to simply convert the links you created to full copies of the master channel schematic.
You should now see all of your channels in the hierarchy as children of the top level sheet. You can now annotate components for each channel with the same numeric range but with different suffixes for each channel via the "Tools/Annotate/Advanced Options" tab. That is, R100 can be annotated R100_1, R100_2, R100_3 etc with the suffix denoting which channel the component belongs to.
The procedure is essentially to copy the master channel schematic as many times as you need, giving each copy a different file name. Presumably you could create your own copies directly rather than indirectly via the create link and Complex to Simple route. Anyway, the final outcome is that you just end up with full copies of the master channel.
But the kick in the pants is that when you change the master channel schematic CH_1.SCH, the change does not appear on the additional derived channels CH_2, CH_3 etc automatically. You have to delete the derived channels and repeat the above procedure to recreate them with the changes on CH_1.SCH already in place.
So this kinda sucks. I think that multi-channel support got better in DXP with the introduction of the REPEAT command but this is as good as it gets in 99SE.