One of them used a hole in the observation wing of the nest box and made eight cells. Each cell contained a pile of pollen and nectar, plus an egg. The eggs look quite large when compared with a honey bee egg but are laid at a rate of one or two a day compared with a honey bee queen's 1000 a day or more.
The eggs hatched into larvae.
All being well the larvae eat the pollen and grow larger before spinning a cocoon.
Unfortunately several of the cells have turned out differently and contain multiple small larvae.
Red mason bees are host to a number of parasites which include Monodontomerus obscurus and Sapyga quinquepunctata, both parasitic wasps, Cacoxenus indagator, a parasitic fly, and Chaetodactylus osmiae, a parasitic mite.
This is Cacoxenus indagator, sometimes known as the Houdini fly. When the new fly is ready to emerge next year it has a problem. Unlike a bee it cannot bite its way through the mud cell walls to escape. Its solution is to push its head into a crack in the wall and to inflate its head with haemolymph to break the wall to escape. Read more about it here in the New Scientist.
This is the parasitic wasp Sapyga quinquepunctata, but seen in the Midlands. I haven't seen it here in the garden or locally.
Looking at the cells in my observation wing, it appears that at least four are affected by parasites. I expect most or all have been parasitised by Cacoxenus flies. I noticed several around the nest holes and squished all the ones I saw but I am sure there will have been others. Although I am generally a non-interventionist, I am keener on mason bees than parasitic flies so my plan, I think, is to remove the red mason cocoons and keep them safe until next year while emptying all the other cells to reduce the parasite load. Let's hope it works.