As I stated in my first message, I have already run the calibration with the VG-AHRS app.
Also, I'm not using the python driver. I'm accessing the raw serial interface.
Now, having looked at the EKF code, the IMU's current firmware does not support having X/Y axes not on the horizontal plane (no correction is done on the Z axis), which won't work for me since it is mounted sideways (that is, with Y up and Z sideways).