Here's a short update to this thread.
After testing many different configurations, rearranging cables, disabling/enabling various BIOS features, I decided to RMA the ax860i and have sent it back to Netherlands yesterday.
After doing some research, it seems that the problem with the ax860i spontaneously shutting down is much more widespread. There are a lot of people reporting their ax860i's exhibiting exactly the same behavior on other forums which means this is not an isolated issue.
Corsair might want to look into this as their top of the range PSU seems to be having more problems than one would expect including issues with fan, corsair link, psu shutting down and much, much more.
Don't get me wrong, I like corsair products but the company never used to release products like this which to me, simply seem unfinished and rushed, considering the amount of issues people have with them.
Also, I find it ridiculous that after spending nearly £200 on a PSU I had to pay additional £60 to post it to Netherlands.