There are devices on each radiator which control the temperature to
that radiator. How do thay do that? There is a pipe leading to the
device, then to the radiator and then another pipe leading from the
radiator onwards, so it can't be by flow control or the next radiator
down the line would be controlled too.

It is by flow control. Your assumption about the radiator tail leading
directly to the next radiator is false. With microbore, the feed and return
to each radiator will either go all the way back to a manifold near the
boiler, or will connect to much larger feed and return pipes that snake
around the house. Any water that circulates through the system will only go
through one radiator before returning to the boiler.

One of these devices doesn't work, so one radiator is at full blast
the whole time and thats in the guest bedroom so wasteful. Presumably
I need to replace the device? What is it called and does replacing it
mean draining down the whole system?

It is a TRV. Replacing it might not require draining the system. Most makes
of TRV have replacable heads, which simply screw on to the valve body. If
you can find the make, and the heads are still available, you're laughing.
Otherwise, draining down the system to replace the whole shebang is probably
the way to go, particularly as you won't know the state of the system, so a
flush and refill with inhibitor might be beneficial anyway.

Christian.