It's an alternative. It's the way that it would be done in the real world - glue your first section down firmly so that the sections you add will take the whole of the gradient transition. It's the way your customers might have used the 'grade' kits. But it's not practical in the virtual world because it makes the subsequent adjustment to spline points inconsistent. Of course, in the model world adjusting the equivalent of the spline points doesn't happen (unless you re-lay the whole thing). I guess it would be possible in the virtual world to make spline points immovable. Then you could fix a section of track to force the gradient adjustment into the 'next' section location. But it wouldn't be worth the tradeoff.
They aren't, for the sorts of reasons I stated above.
Because the gradient transition is divided between the two segments. It really is as simple as that. It's no different then the model world, unless you are laying on a baseboard with the existing section firmly stuck down. If the existing section was only pinned at its ends (such as laying a viaduct) then it would bend down in the middle when you attached the next piece and bent it up. In Trainz the existing section is always pinned only at its end, so the middle will always bend down when you bend the next section up. But of course you get to choose the length of your sections, so creating the exact transition that you want is easy, unlike in the model world where you are restricted to setting the height for fixed lengths.