Don't bother with trying to make a moon orbit one of the planets in a binary. Unless your planets are very far apart and very far from their star, they will tidally lock each other. This means that any moon orbiting one of the planets will be orbiting faster than its parent rotates, and tidal interactions will cause it to spiral inward and collide with its parent.
As for the circumbinary moon:
1. After you add a barycenter for the planets, place the moon.
2. Select the moon and the barycenter.
Click "make binary orbit" followed by "add barycenter."
3. Select the new barycenter (planets + moon) and the star, then click "make binary orbit."
If the planets stay in orbit but the moon is ejected, it was most likely placed in an unstable orbit. If it's too far in, perturbations from the planets will chaos its orbit to vary chaotically until it collides with one of the planets or is ejected. If it's too far out, perturbations from the star will again cause chaotic variation in its orbit, eventually raising its apoapsis outside the planets' hill sphere and allowing it to escape.
For a circumbinary moon, I would use the same rule of thumb as for a circumbinary planet; the minimum separation of the moon and barycenter should be at least five times the maximum separation of the planets. The apopasis of the moon should also be less than half the hill sphere radius of the planets (and even half the hill sphere radius can lead to wonky orbits).