There is also more to the dialog. When the train is in motion and you press <Aux1><#2> , this triggers the inbound message. The tower will respond that its all clear to arrive. After that message, stop the train and then press <#2>. You will get the final message - I have arrived and my brakes are set. This is all part of the round trip dialog which is covered in the manual.
Another fun one I play with is the Emergency Stop message. While the train is in motion press <#5> or it may be <Aux1><#5>. The tower will respond that there is an emergency and you must brake now. Apply the brake (I use the boost/brake button and not the slider) until the train stops. The engineer will then respond with a message. Do this a few times as the engineer's message will vary.