Very, very odd. I am bereft of ideas except suggesting a swapout.
I'm sorry to hear that you are having such problems.
Well, it looks like you should buy another PICAXE, preferably 2.
Never buy just one of anything when the cost is so small.
When prototyping you've got to remove as many variables as possible.
This includes duff components and duff handling.
(In this case, having 2 PICAXEs may have saved days of time, and carriage costs too perhaps. This isn't 20/20 hindsight, just a bitta common).
Good luck with sending it back to supplier.