Alex,
I don't know where I got the information, but searching on google now for "royal naval division pipe band" I found an article by "Marcher" on
www.royalmarinesbands.co.uk which mentions: " A brief account in a 1917 copy of 'The Globe and Laurel' refers to a bagpipe band in one of the Royal Naval Division Battalions who were referred to as the 'Bagpipe Marines' ".
So they existed during WW1 but I have no idea when this Pipe Band was established or disbanded.
Aad