Using WP Rewrite, but just not “getting it”

Your rewrite setting is good, but WordPress are redirect to the canonical url of the post. This is done by WodPress to prevent bad indexing for duplicate content (when an identical content is accessible via 2 different urls).

You can prevent that removing the canonical redirect filter:

add_action('wp_loaded', function() {
  remove_filter('template_redirect', 'redirect_canonical');
});

However this is not a recommned way, in fact, if you do it your post will be accessible both via the regular url and the new created url.

When you want to change the default post permastruct, the recommend way is to adjust the permalink structure in WordPress permalink settings, so in your case the permalink structure shoul be

our-thinking/scenarios/%postname%

and to prevent it affects any other custom post type or custom taxonomy, when you register them, use the argument $rewrite with the key 'with_front' set to false, e.g. :

...
'rewrite' => array( 'with_front' => false )
...