Little late, but it is possible that polyurethane was sitting in the store too long. Urethane caulk has a history of curing in the tube and impossible to make a nice bead or use in the caulking gun. It should have expire or best use date on the tube.
Even polyurethane, you smooth it immediately with a wet finger. Spit will work. So you do one side, smooth, then go to next side. If straight bead, no longer than 3' or so that you can reach and smooth. Watch for splinters.:smile: I use osi quad caulk and although occasional work, I never had flawed caulk with it. Also smooth with spit and finger. OSI quad stinks and it is for outdoor only. I use it indoors, esp bath, because of very good adhesion, but ventilation is a must and no bedroom where you'll sleep that night.
Work you've done so far, I'd cut them off and apply again. Caulk for trim joints, remove best possible by slicing off with razor (paint scraper razor) and try again. But for trims, best is outdoor wood filler and sand later. Not the durham's wood putty which dries rock hard and difficult to feather.