Hello Simon,
I cloned your website to test it better and I found what was wrong
If you visit the taxonomies you have created, you will notice that the option to “Generate automatic URL alias” is unchecked. Not sure if you unchecked it when you were created it or if it is the default but for sure this creates the issue. Just go over all the elements you created and check this option.
In that case you don’t need to Bulk generate the terms because the URL alias will be created when you hit “Save”. After saving the term, go back to the term and you will notice that the alias is applied.
Hope that helps.
Konstantinos