I think I know what your problem is.
I think it is possibly just a case that there isn't a route set out of whichever platform you are leaving (or points don't follow a complete route)
After selecting the train, hit "9" and you will get the track view. The train you are on will show a blue line for the set route (which probably won't get very far) - simply left click on the blue circles while wholding "Shift" to change the points and you should be able to obtain a route. Provided no other trains are on the track ahead, you should then obtain an "off" signal. Although you go through a red signal in free roam mode, you can release the brakes and continue going - any conflicting trailing points will become correctly set as you travel over them.
If you still have problems, let me know which train you are using from Oxford and I'll have a look on mine (provided yours is still default) and see if I get the same issue
As an aside, if anyone has the Tornado pack - on the free roam on Bath to Templecombe - it is too close to the turntable and so if you try and take a train past, they will clash and derail.