There are two places to say what to do.

In the first I choose the caboose option enter classification yd and add caboose.

That works perfect.

Now after the cars are delivered the engine comes back with the caboose to the classification yard where i want to place it on the caboose track and then the engine goes to the engine yard

How do i do that?

If i use the second item on the train build options window i select classification yard and remove caboose.

Now the build selects an engine in the engine yard, gets caboose from classification yard, removes the caboose in the classification yard, goes to industrial area to set cars without a caboose

Tony