Unfortunately since the last update I'm having great difficulty setting the rally point. For some reason when I click on "Set new rally point" a window containing the description of my civilization pops out from the left and my click to set the rally point on the map is ignored.
The problem you're having has existed since the first alpha. I reported it in probably the first bug list and included some videos showing it happening and how to prevent it.
It can be prevented by saving the game, then loading the save. It always happens in a game that has been started but not saved and loaded. It never happens in a game that has been loaded from a save.
I've learned to save on turn 1, then load the save. That way I never have the problem.