I am not getting the "Confirm" button showing after I build something, ...
Either, you don't have enough money; at the bottom it says how much it will actually cost to complete construction. Or, the rail line is not connected to the network. You cannot build a rail line in one corner of the map and another one in another corner. For rail lines, whatever you want to build must be connected to the already existing network.
... I keep getting the "Not Connected" message when I try to schedule a train (after the tracks are built).
After you have confirmed the construction, you need to wait until the 2 little guys have finished their job, i.e. building the track. Inspect the line, if anything shows yellowish, it is not yet finished.