The San Antonio to Orlando train, part of the Orlando-Los Angeles Sunset Limited, operates only three days a week in each direction (departing Orlando Sunday, Tuesday, and Thursday). Usually the web site will route you the long-way around (via Chicago) if you request travel on a day the Sunset doesn't operate. If you are departing Orlando on a day there is a train and the web site still tries to send you to Chicago, you should just call Amtrak directly (1-800-USA-RAIL) to make the inquiry. You could also book the trip online in seperate segments (really, any intermediate city on your desired route) but the price will then almost certainly be higher. The website also may offer you a bus option from Dallas-Houston (there used to be a train here), but you can select a trip via San Antonio instead.
My guess is you are leaving Dallas on a day that there is a Sunset Limited from San Antonio, but trying to return from Orlando on a day there is no train. Try entering a different day of departure and see what happens.
The Sunset is often found on Railsale, at bargain prices too.