I thought I’d check in here with the DHIS2 devs first before raising this as a bug in JIRA.
It seems like when querying the API for trackedEntityInstances, the ‘enrollments’ field is always empty, even if that TEI might have enrollments.
i.e. When asking for the following TEI, enrollments is 
But an enrollment for this TEI clearly exists here:
This isn’t a rare case, it happens for all TEIs:
It seems to be present in all versions as well, hence my reason for asking if this is expected somehow.