Yes, that's the confusing part. The game mechanics are different in the different ages, but the trade route dialog looks deceptively similar.
- In Antiquity, you have to manually move the merchant (or unique merchant) to the tiles belonging to your desired destination. Only then will the merchant get an action to "build trade route".
- In Modern, you can select a destination and get a "Confirm" button that immediately makes the trade connection. Much quicker.
- In Exploration, I'm not sure. I think it's still "manually send it to the destination." What I did observe is that I can use the arrow button, "Move To," and select a destination in the Distant Lands. The merchant will make its way, passing thru islands, taking some damage from Rough Seas, but it did survive!