I was never given the option to change the rescue email

You should be able to change/add/remove it by logging into your account as described half-way down that page :

1. Navigate to appleid.apple.com using your web browser.
2. Click "Manage your account"
3. When prompted, sign in using your Apple ID and password.
4. Click Password & Security
5. You'll be asked to answer 2 of your 3 security questions before you can make any modifications. If you are unable to remember your answers, you can choose to send an email to your rescue email to reset your security questions.
   Note: The option to send an email to reset your security questions and answers will not be available if a rescue email address is not provided. You will need to contact iTunes Store support in order to do so.
6. After you've validated your identity by correctly answering your security questions, click Editto the right of your rescue email address.

Alright.... but isn't my apple ID email the rescue email?