Sorry JackH i was looking by your name "My Honda: GE 1.4 EX" so I thought a GE. Apologies
Yes, that's where all this GD/GE business gets confusing - late mark 1 cars like mine are GE too.
Is there anything like VAGCOM (VW OBD diagnostics lead / application) available for Hondas? Something along those lines would usually give you access to data like engine temp etc.
Yes there is, Honda dealers have their own system HDS, and you can buy a Chinese clone - it's a lot dearer than the VAG-COM interfaces though, about £90 last time I looked. These diagnostic tools can be very useful indeed, but I'm holding off buying the Honda one until I need it.
If you want to read engine fault codes, temperatures and other live engine sensor data only, one of the generic ELM327 type OBD2 USB cables or bluetooth adapters will do that, and they are only a few pounds.
There will be an inlet temperature sender for the ECU. Not 100% certain on the Jazz, but they are usually completely separate from the dash outside temperature display.
It sounds like you have checked all the obvious, and as neddy says, I would be very surprised if there's a lambda problem if there's no EML on and exhaust emissions turn out to be good. They don't normally fail unless contaminated by something, for example an engine burning oil or head gasket failure, etc.. Unless something shows up on the emissions, I would leave them alone for now.
It's definitely worth a look at the EGR valve. They can fail without significant symptoms, and on a car which has done little mileage, it's possible that it has been tootling around town all its life. It's worth a quick check and a clean out with some carb cleaner - nothing oily.
Also check for sticky calipers, as you suggest - it's the first thing I go to if there are any mpg worries. Feel the centre of the wheels after after a good run, see if anything unusual is going on. Fronts may become lukewarm or 'aired', with the two sides even, and the rears should always feel cold.