U is generally the common return for multi-train Lionel transformers, but not for those intended for a single train. For these, like the 1033, use A or B for the common, depending on whether you want 5-16 volts (A) or 0-11 volts (B) and connect U to the center rail. A-U is the only choice likely to give you enough voltage to run most trains.
Yes, you can use any pair among A, B, and C for a fixed voltage that suits your needs; but, for control-rail applications, the pair that you use must include the common that you have chosen to connect to your outside rails. If you are running modern locomotives that make a distinction between positive and negative polarity for the whistle-bell control, you will find that connecting U to the center rail will result in the 1033's blowing the whistle (when you operate the whistle control).
By the way, the old Lionel schematic diagrams consistently show the rectifier in the whistle-control circuit connected backwards with respect to the usual modern convention.
