Do the side lights and hazzards have to work when the master s/w is removed...?

I presume not as the whole point of the master s/w is to isolate everything.

If its abandoned or broken down in an unlit area at the side of the road then yes.
( unfortunately). If it's on private ground or parked legally in a lit area then you can remove the key.

What are the SVA rules thou....?

There's no mention of a master switch in the sva AFAICR. I doubt they'd be to worried with it though. However if it's your only type of security device you could have a problem as they do check the side lights and hazards work with the ign key off i.e. constant 12 volt at all times.

I have separate ignition s/w and imobiliser so should be ok then....