Manual and all support documents https://www.lionelsupport.com/...-Gauge-Passenger-Set
Direct link to Manual https://www.lionelsupport.com/...ents/71-3004-250.pdf
It covers all of your questions.
You may have the sound switch set to "Signalsounds" vs full blown "Railsounds" Again the Signalsounds setting disables the background engine sounds and chuffing so unless you activated bell or whistle -the engine would be silent. Switch according to picture is same side as the smoke switch under the cab.
Another thing the volume might be turned down.
"The volume control
knob to raise or lower the level of sound is
located underneath the rear truck near the
RailSounds switch"