Great thinking on the advance-and-add approach — the grid/train-stop details you spotted are exactly right. I did consider stepping the train out of the bays as it's built. The catch is it doesn't actually save space (you need as much clear straight track on the exit as the extensions take up inside), and driving a train in small hops via invisible stops adds a lot of moving state to keep in sync with the build timer, for what ends up being a cosmetic effect. So I've kept the "bigger building for a bigger train" route — which, as you noted, fits the theme.
On the west-only exit: you've put your finger on a real limitation. It's a deliberate design choice today — the exit direction is baked deep into the building (asymmetric footprint, the pixel-aligned rail sprite, the exit signal orientation, the module chaining, and even the blueprint import check, which requires a locomotive facing the exit). A mirrored variant was considered and set aside to keep things robust. But your Clapham use case is a concrete need for east-facing exits, so I'm noting it as a candidate for a future mirrored version rather than a flat no. No promises on timing, but it's on the list now.