No you're not missing anything unfortunately.
The custom action applies one custom schedule to one or more selected zones, but the unselected zones will continue to follow their normal schedules.
And unfortunately you can't "stack" the custom action on top of another action like away or heating off, nor can you have two different custom schedules applied to two different groups of rooms.
About the best I can suggest for your scenario is that instead of using the custom action you set all the other zones you don't want running to permanent overrides of say 10C - they will stay set to 10C permanently until you undo the change and the heated towel rail can continue to follow its normal schedule or indeed a custom schedule.
Permanent overrides survive most custom action mode changes as well. There is one specific custom action which will cancel permanent overrides but I can't recall without checking which it is.