If you wanted to rent a car in New Milford, you would have to get off in Southeast and then get to the rental place next and you still have to get to New Milford from Southeast. The plus with taking the train to Southeast is you have more options and you don’t have to switch trains. In the end, not many people would want to use this option.
I think when many people take the train to Pittsfield or the surrounding towns and rent cars, they will take Amtrak to Hudson or Albany-Rensselaer. I remember on several of my posts back in this thread, somebody mentioned that car rental places in Hudson aren’t open as much as in Albany. From ALB to Pittsfield, it’s just under an hour. From Pittsfield to Hudson, it is about the same time.
I think the Wassaic option is best if you are getting picked up and dropped off. Bear in mind that traveling from Pittsfield to Wassaic takes a lot to get to. If you miss a train there, you are basically stuck for two hours or even more in the middle of nowhere, depending on the time and day that you travel. From Wassaic to Pittsfield, it’s a little under an hour and twenty minutes.