I had a fascinating reply from Rick at Bambu tech support about this!
To ensure that the filament does not rotate during the printing process and thus provide the dual-colour effect, the filament of PLA Silk Dual Color is designed to be oval instead of circular; that is, its average diameter is 1.75 mm, and the actual value is mainly in the range of 1.60 mm to 1.85 mm.
You may have received a filament spool outside of these specifications.
So it sounds like it is oval by design!
He has offered to sent me replacements once I take a video of one of the filaments failing to load, so that’s my next step.