It sounds like you aren't getting it programmed properly. Do this, this is the "reset" of the ERR Cruise Commander board.
- RUN/PGM switch to PGM
- ENG, ##, SET
- AUX1, 4
- RUN/PGM switch to RUN
FWIW, as a steamer, the headlight does stay on all the time. The key test is does AUX2 toggle the headlight on and off?
As far as the Sound Converter, how do you have it wired. It should be supplying the power to the sound board, that's the way it controls the sounds. The simple diagram they offer shows the wiring, if it's wired this way, it should be able to simulate the whistle and bell. Note that any power to the sound board MUST go through the Sound Converter board.