Dave, you can set In & Out points in both multitrack and mixdown modes. I can replicate your problem if I don't hold down the Mark/Set button so are you sure you are operating the buttons correctly?
You have to press & hold Mark/Set, then press & release Out, then release Mark/Set. If you try pressing them simultaneously, maybe you're pressing Out slightly before Mark/Set so it thinks you want to just locate to the current Out point, which is zero by default.
It's a bit like control keys on a computer, e.g. when they say press Ctrl & C (say), they really mean to press & hold Ctrl, then press & release C, then release Ctrl.