Looking at the docs (it's even an example given), I should be able to run just the tests in /sapphire/tests with this command:

sapphire/sake dev/tests/module/sapphire

Likewise for just those tests contained in /mysite/tests (NOTE: most of these tests are in a subdirectory of /mysite/tests):

sapphire/sake dev/tests/module/mysite

Neither return any output in the cli. Yet when I run an individual test contained in those directories, it's fine. Also running the above on other directories, such as /cms:

sapphire/sake dev/tests/module/cms

... works as expected.

It's obviously a configuration issue within or related to particular directories. but /sapphire seems strange.

Anyone have any thoughts?

What system are you on? OS / PHPUnit version? What is the output if you run it in the web browser - dev/tests/module/sapphire. Sometimes it could be segfaulting so execution could just end.