In line with what @Boilermaker1 posted, I would do the following.
Power off the Legacy base. Make sure the switch on the back of the ZW-L is set to CONV (for conventional mode). Have all the ZW-L handles at 0 volts. Have engine on track, turn on the ZW-L power switch, and slowly advance the handle for the ZW-L output you are using to track - I suggest you use the A or D output and associated handle. Watch the amp meter that current does not go to near max - indicating a short circuit. Engine should power up in conventional mode, allowing you to use the direction button on the ZW-L to cycle through the engines Forward-Neutral-Reverse sequence. If the engine responds, and you can make it move, handle for speed, direction switch for direction, engine is okay, on to Legacy. Power off the ZW-L
I would connect a wire from the Legacy base to the dedicated Command Base binding post on the back of the ZW-L. Leave ZW-L in conventional mode. Power on the Command base first. Then power up the ZW-L. Wait about 5 seconds to let electronics stabilize, then power up the ZW-L handle for the engine to near full power. The engine should light up. Since the engine is new, it should be set to ENG 1, so press the CTC button on the CAB2 to turn it on, press ENG on the CAB2, the the number 1. Blow the horn with the Bell/Horn slider on the CAB2. Engine should blow horn and start making its engine sounds. Turn the red knob, and away you should go.
Then its time to explore what you can do via the CAB2 by using the Legacy manual.
Hopefully, all the above will work for you.
If you want to use the ZW-L in Command mode, there are a couple more lessons to learn. But get through the above first.