What are you using for power? If I remember correctly, Dave from Lionel mentioned recently that Legacy steam needs AC from a transformer for sounds to work, not just a wall wart like those in a set, which provide DC.
My understanding is this is because the railsounds board requires AC, while the control board can use AC or DC. My guess would be that in the diesels, the railsounds board gets power from the control board, but in the steam locos it gets its own track power from the pickup rollers.
Just my guess based on what I've read.