Mystery solved, you are using the Sound Commander, not the RailSounds Commander. The old Sound Commander didn't have startup or shutdown sounds. I used the full RailSounds commander for my BEEP build.
As for the markers, the polarity is reversed, the feature output is positive in respect to frame ground, the headlight/taillight outputs are negative in respect to frame ground.
The reason mine weren't wired that way is I didn't use the feature output for the markers, I used the front/back headlights to make the markers color directional with dual-color common anode LED's.