Thanks for playing, and for writing this up. You didn't miss anything: the hints are wrong. They say to click the chart, but the chart only takes marks once the pencil is out, and the pencil is tucked away in a closed panel.
To lay a course:
1. Open the Helm tab (the ship's wheel, second icon at the top right).
2. Under "Passage plan", click "✎ lay a track". This opens the chart if you aren't on it already.
3. Click once on open water for each mark. Dragging on open water always pans; dragging only moves a mark you've already laid.
4. At sea, click "follow the track" (or press R) and she'll sail it.
M only picks up a mark that's already on the chart, so it can't start a course.
I'll fix the hints so nobody else gets stuck here. Glad the direction works for a Sailwind player, and I'd love to hear how the voyage goes once under way.