I'm trying to make a simple buster sword, and I was following a tutorial, but whenever I try to select anything in the Unwrap UVW modifier, the + disappears.
Its because you're applying the unwrap to a sub-object selection. Go back down the stack, and click the polygon button again to close the object. You'll see that grey box next to edit poly and the modifier disappear - its there to tell you that its acting on a polygon selection.
Yep exit sub object mode before applying unwrap. Push 1 (Toggles vert sub object mode) until "Editable Poly" is gray (it shouldn't be yellow), then its safe to apply Unwrap UVW.
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