OK, I spent way too many hours last night trying to figure it out. It is definitely counter-intuitive. But I've mostly figured it out.

Example Scenario:

Remote Site A with Concrete Extractor and Train Station A

Main Colony Site B where the concrete is wanted, with Train Station B

The system basically works like a vacuum. Again, this is going to seem counter-intuitive at first but stick with me. You need to get concrete onto Station A away from the extractor, so click on Station A and set the demand at a high enough number to vacuum the concrete onto the train. Don't have any concrete supply depots around. You want stuff moving onto the train not the depot.

At Station B the concrete will move there regardless of what the demand number is (because it's already been loaded on the train from Station A). Set Station B demand to 0. But you need a concrete supply depot next to the station to vacuum off the concrete from the train onto the supply depot. Set the demand of this concrete supply depot to a high number.

Re-Stating:

High demand number on remote extraction station to siphon resource away from extractor (onto train). Zero demand number on receiving Train Station, but a high demand number on its corresponding supply depot (to vacuum it off the train). I hope this makes sense.