was the finish an old varnish, or oil?
I think you need to clean off the (not yet dried) Sadolin with white spirit, and then clean the bare wood with more white sprit. My guess is that something in the old coating is interfering with the new.
If it is a tropical hardwood such as teak, it may be quite an oily wood, but this would be unusual in a modern house.
Also, if you apply thick coats, or one on top of the other too quick, the paint will form a skin but be soft underneath, but it doesn't sound like that is the same as the problem you have.
How old is the house and the rail?