Transfers trains in Germany are in the two different train stations.

I suspect that the itinerary is only showing you the legs for which you have a reservation.

I just went over to Deutsche Bahn site and put in a random date and I see a interregio-express train for the leg from Ulm Hbf to Schaffhausen. An interregio-express (IRE) is a regional train so you can't reserve a seat. I'd suggest that you go over the bahn site and check for trains between Ulf HBF and Schaffhausen on your day of travel.

Here is the actual itinerary from DB: So you just get on the train to Schaffhausen, which is actually in Switzerland. The IC 185 train will be waiting for you in Schaffhausen. Hustle off and board that train. You have 4 minutes.

München Hbf Mo, 14.07.14 dep 10:28 ICE 598 Intercity-Express
Bordrestaurant, Wifi available
Ulm Hbf Mo, 14.07.14 arr 11:49 1

Transfer time 16 min.

Ulm Hbf Mo, 14.07.14 dep 12:05 6 Süd IRE 3356 Interregio-Express
Number of bicycles conveyed limited
Schaffhausen Mo, 14.07.14 arr 14:14

Transfer time 4 min.

Schaffhausen Mo, 14.07.14 dep 14:18 1 IC 185 Intercity
Bicycles conveyed - subject to reservation, Number of bicycles conveyed limited, SnackPoint/Snacks on board the train
Zürich HB Mo, 14.07.14 arr 14:55 14

Another good example of why you DON'T book with RailEurope.

A good example of why not to use rail passes or RailEurope, you paid $26 for the reservation. For the same price as the reservation only, you could have taken the Bahn IC bus from Munich to Zürich, 19€ with a seat reservation from German Rail. It leaves Munich ZOB at 11:32 and takes less than 4 hours.

Or, if you preferred the train, there is an EC at 12:33 that goes directly (no changes) from Munich Hbf to Zürich HB in 4hr 11min. With savings fare from the Bahn, that train ticket can be as low as 29€ plus a 4,50€ seat reservation (about $46, ticket plus reservation), from the Bahn.

There's no reason for anyone to assume that the railpass wasn't a good value, without knowing what other trips you'll use if for. While many people want to have a guaranteed seat assignment, and trains can get full, I only reserve ahead for trains that require reservations, which these don't. DB schedules are the most accurate and objective source for that info. If there are additional trips you want to reserve in these countries, you can do that at the station when you activate your pass, or reservations within Germany are also available through the DB link. The area where it's most important to book ahead is for TGV to/from/within France, and Rail Europe is your best source for that reservation. See also https://ricksteves-cms.herokuapp.com/travel-tips/transportation/trains/reservations.

I don't understand what you mean by "I didn't notice these two trains are from two different train stations".

I've just double checked the times. There are three trains involved, not two:

First train: Train No. ICE 598, Depart München Hbf 10:28 , arrive Ulm 11:49

Second train: Train No. IRE 3356, Depart Ulm 12:05 , arrive Schaffhausen 14:14

Third train: Train No. IC 185, Depart Schaffhausen 14:18 , arrive Zürich HB 14:55

These are the times in your posting (though you've convert them into am and pm, which is confusing). :-)

Both these changes are at the same station, Ulm and Schaffhausen. You just have to walk from one platform to another. As this is a published connection, there will be enough time.
The first train is an ICE, on which you can reserve, but unless it is a very busy period you should be able to find a seat, especially if there is just one of you. The second train is a "regional", you cannot reserve on these trains. The third train is in Switzerland, there are no reservations for any trains in Switzerland.
There are normally direct trains from Munich to Zürich, but currently the line is being upgraded, so the only choice is this detour involving changes, or a bus.

Thank you all for such valuable help! The showing from Rail Europe only shows two trains, but didn't show the 2nd train between Ulm and Schaffhausen which seems to be regional train and won't need reservation, and it didn't show up which confused me.
here was the missing one that didn't show up:
Train No. IRE 3356, Depart Ulm 12:05 , arrive Schaffhausen 14:14

One side note is: before we bought rail pass, I checked the train costs for all the cities we need to go (7 travel days, most are 2 to 3 hours train ride), raileurope site gave us very expensive price, that was why I decided to buy the railpass. Then now I find the railpass plus the reservation fee add up expensive as well. Then i found out this forum and saw other sites that have much cheaper prices. I didn't expect train prices could vary this much from different sites.

ALWAYS get your information directly from the company that actually operates the trains. For Germany, this is Deutsche Bahn. For Switzerland, it's Schweizerische Bundesbahnen, or SBB for short. Every country in Europe has their own national passenger rail carrier. RailEurope is a middle-man that sells marked up tickets and unnecessary passes to foreign tourists. And they only show the trains for which they sell tickets.

"There's no reason for anyone to assume that the railpass wasn't a good value,"... other than that they never are?

Tom: You are SOOOO correct! And I think I did not know that the RS organization was so heavily involved with RailEurope until recently. I keep reading more and more about these RS experts who give advice that railpasses are still good ideas and that RailEurope is a good site to use to purchase tickets...which every other "real" travel expert here would certainly avoid saying.

"There are normally direct trains from Munich to Zürich, but currently the line is being upgraded, so the only choice is this detour involving changes,"

Maybe German Rail is not aware of that, because I checked a date in mid-September and found two direct ECs that day. I've since check next Monday and mid-August. All days show the ECs running normally. She did not specify a date.

And, although they take longer and also involve changes, there are other routes besides the direct EC and the one she booked. You can take an ICE to Mannheim and another from Mannheim to Zürich, all reservable. You can also take trains to Friedrichshafen, then a ferry across Bodensee to Romanshorn, and a train from there to Zürich.

Lee, you're right. I had only checked the morning and found no direct trains (and I had read in the press that the line was being upgraded and busses were replacing trains), but that appears only to be partially true.

The first through train on the day is, as Lee says, depart München Hbf 12:33, arrive Zürich HB 16:44. Price between €39 (saver fare, you have to choose a train when you buy the ticket) and € 77.20 (full fare, open ticket valid on any train). These prices include seat reservations, which are optional. So paying USD 26 just for the reservation (=€19.11 according to Google) is a rip-off.

The other posters are also correct in saying your source of information should be the websites of the railway companies that are actually running the trains ( www.bahn.de and www.sbb.ch ), not a travel agent in an other country who will apply a mark-up on everything.

I wish I read these posts before I bought railpass through rail europe site. The rail pass plus all the expensive reservations and the costly shipping charges ($18 for my reservations just for the tickets shipping charge), it is so expensive now! I didn't know rail europe site made so much $ by being a middle man to sell the tickets. Here in U.S., there are many web sites that sell plane tickets, but all sites have the similar price air tickets as the airline web site (almost the same). When I read the posts, I was wondering how come these train prices are so cheap while when I used rick steve's link to calculate the train prices, they are so expensive! A big rip off here! I will apply these knowledge to my next Europe trip.