This question and answer thread kept on coming up when searching for the solution. The confusion, for me, was that the Debugger escaping looks exactly the same as the JSON serializer behaviour that was being applied later when I returned the string to a client. So the code at the top of the thread (and my code) worked correctly.
Once I realised that, I converted the piece of code I was working on return an array (string[] in this case) and store that rather than the original string object. Later the JSONResult serializer then dealt with converting the array correctly.