Petrus, what you say is true, but in the case of a standard basis vector we have:
$\text{proj}_{\mathbf{v}}(\mathbf{e}_j) = \dfrac{\mathbf{v}\cdot\mathbf{e}_j} {\mathbf{v}\cdot \mathbf{v}}\mathbf{v}$
If $\mathbf{v}$ is already a unit vector, this becomes:
$v_j\mathbf{v}$.
So if we pick $\mathbf{v}_3 = \mathbf{e}_3$ (as your text does), then Gram-Schmidt gives:
$\mathbf{u}_3 = \mathbf{e}_3 - \text{proj}_{\mathbf{u}_1}(\mathbf{e}_3) - \text{proj}_{\mathbf{u}_2}(\mathbf{e}_3)$
$= (0,0,1) -\dfrac{1}{\sqrt{6}}\left(\dfrac{2}{\sqrt{6}}, \dfrac{1}{\sqrt{6}},\dfrac{1}{\sqrt{6}}\right) - \dfrac{1}{\sqrt{2}}\left(0,\dfrac{-1}{\sqrt{2}},\dfrac{1}{\sqrt{2}}\right)$
$= (0,0,1) - \left(\dfrac{1}{3},\dfrac{1}{6},\dfrac{1}{6}\right) - \left(0,\dfrac{-1}{2},\dfrac{1}{2}\right)$
$= \left(\dfrac{-1}{3},\dfrac{1}{3},\dfrac{1}{3}\right)$
which upon normalization clearly becomes the $\mathbf{u}_3$ in your text.
Yes, you are correct that if we pick $\mathbf{v}_3 = \mathbf{e}_1$, then one of the projection terms we subtract is 0, and we get:
$\mathbf{u}_3 = (1,0,0) - \dfrac{2}{\sqrt{6}}\left(\dfrac{2}{\sqrt{6}}, \dfrac{1}{\sqrt{6}},\dfrac{1}{\sqrt{6}}\right)$
$= (1,0,0) - \left(\dfrac{2}{3},\dfrac{1}{3},\dfrac{1}{3}\right)$
$= \left(\dfrac{1}{3},\dfrac{-1}{3},\dfrac{-1}{3}\right)$
This is the negative (upon normalization) of the vector your book found, and is clearly also perpendicular to the plane spanned by $\{\mathbf{u}_1,\mathbf{u}_2\}$.
Now it's largely a matter of preference as to which $U$ you use, one will be orientation-preserving, and one will be orientation-reversing. I'm a bit surprised your text chose the orientation-reversing matrix, but as you can see, both methods work out (up to a sign difference) the same (and it turns out the sign of the 3rd column of $U$ doesn't matter, because the 3rd row of $\Sigma$ is 0).