First off. Third rail as an electrification type in the track rule is literally just an electrification type. The visible third rail needs to be laid as a loft offset from the track - 1.1m offset IIRC - in the same way you'd put a lineside fence in.
Second. You appear to be clicking the arrow which is, I strongly suspect, the cause of your QD issues. You should be double-clicking on the main marker whatsit rather than the arrow. It's fiddly though, so don't be too surprised if it doesn't bring up the flyout straight away. The sweet spot, I think, is somewhere towards the bottom of the QD marker.
Cheers
Bob