The AM Empire Express is a beautiful set. Did the set come with the box? If so it will state on a box end what the engine features are. The choices are DC High rail, DC scale, AC high rail and if AC, with or without sound. Assuming this is AC highrail with sound, a controller is needed to actuate the whistle and bell sounds. I use the remotes with the MRC AH101, but American Models also made a controller. The sound board and speaker are in the tender. The on/off switch just controls the smoke.
There is no electronic choo choo sound. The smoke/choo choo is generated from a modernized Gilbert style mechanical piston unit, two chuffs/revolution. This engine is making a squeaking sound rather than a choo choo so the orifice plate was either removed or it is installed incorrectly.
All my AM steam engines have been converted to TMCC/Railsounds and all but one was upgraded to a fan driven smoke unit. Vast improvement, well worth the cost.