Absolutely fascinating topic! I did not know that I would be interested when I viewed the title of this thread, but I am!
I wonder if the light bulb served the purpose of an early version of a circuit breaker? With some careful attention to the resistance of the bulb balanced against the resistance of the transformer, it's not hard to imagine that the bulb would remain unlit or at least very dim while the train was running normally. But when a short occurs and the current draw suddenly increases, the bulb would illuminate, thereby saving the transformer from overheating.
George
Edit: That is a GORGEOUS train set!