A group of Microsoft Products and technologies used for sharing and managing content, knowledge, and applications.
This issue resolved itself over time.
Basically, I changed the setting back to use the Term Sets I had created before, took the weekend off, came back on Monday and changed it to Structured Navigation. This time, no errors and it worked just as I expected.
I'm not sure how to mark this issue solved as I can't mark my own post as "Solved my problem"
On an unrelated note, I can't overstate how much I miss the O365 Pros Yammer Network. My usage of official MS channels for support has gone from 100% to nearly 0%.