For anyone struggling with this, I have found a solution 
It seems that there’s an issue with the Capsule Component’s collision body.
It’s supposed to be a simple Capsule but it interacts very oddly IF you rotate it.
So to combat this, the simple solution is to add a Box Collision component to your blueprint and use that for collision with the Cloth instead.
Here are the collision settings for the Box Collision:
Here are the collision settings for the default Capsule Component:
For my specific use-case, I rotated the box by 45 degrees to get a better interaction with the curtains. You can see it in action here:
Capsule Component — With Box Collision Instead