These are not brand new even if you just pulled them out of the box for the very first time. They're coming up on 25 years old.
According to the parts lists found on lionealsupport.com both units (6-14533, Road No. #9744 and 6-14534 Road No. #9745) have sound. Both use a motherboard that has separate sound and power boards plugged into it.
Frequently when I have no-sound issues with units this old it's because the boards aren't making good contact with the motherboard. If you're comfortable with the process remove the shell on the unit that has no horn/bell, and carefully remove each board and replace it, one at a time. Re-seating them may be all you need. However, be careful when you do this to make sure that you get them aligned precisely the way they came off because the connectors have no "keys" to prevent a mistake.
As @BobbyD implied its also possible that one of them has no horn/bell sounds because it's intended to be used as the trailing 'A' unit. In this case only the leading one might have these two sounds.