"If I don't have the service brake applied when I set my E-brake, I don't get the movement."

If you mean the main brake pedal, then this would make sense. The car will have rolled as far as it's gonna roll w/o the main brake on...so then, applying the Ebrake would only cause it to stay where ever it ended up.

The Ebrake should be strong enough to hold the car still all on its own...or so I think.

Chris
'85 300SD