How to include a rule variable (text) in "Set a data value" direct input mode
Okay, the answer is: What I was doing wrong was trying to use a feature that did not exist! However, milesw posted a patch on my d.o issue (  http://drupal.org/node/1547160 ) that totally worked for me (woo!) and that I hope will work for you too if you're looking for the same feature.

Edit: If you are looking for this feature please could you try milesw's patch and feed back on it.