THANK YOU Faultzone! Your workaround works, that little bug was driving me crazy. BTW, you can also save the schedule as a line and the checkbox to have that line refuel works normally. Just slightly annoying for me to do that for every train :p
To MetalSkinGaming, just make a station and change its name to "Refuel". Trains with that setting enabled will go there when they are low on fuel, so set up some inserters to insert whatever fuel you are using into the spaces where the locomotives will stop at.