One thing you could try with your existing transformer is to cut the power completely by holding the direction button down for several seconds. I have noticed the light on the locomotive fades slowly when I push the direction button, possibly the result of the locomotive’s capacitor circuitry. Any quick presses might not be enough to bring the voltage down to zero, which this e-unit seems to demand.
And there is no direction-lock switch on this model. The only switch is to turn the smoke unit on or off.