I'm afraid that is the correct behaviour. At the moment the spline angle is calculated on a single plane as determined by the RailClone object's local axis. Another option though might be to let RaiClone bend the corners for you.
In this way you would create a spline with corners, as in your screen shots.
Then model the corner section without a bend. So you have two segments, one straight with fewer edge loops, and another with enough edge loops that it can bend around corners.
You can then setup the RailClone Style as usual but add a Fillet Radius value to automatically add a curve to the corners.
The advantage of this is that any angle can be created, you aren't restricted to 90 degree bends. I've attached a sample file for you to take a look at.
I hope that helps, please let me know if you have any further questions.