Generally speaking, using AC in models results in a little more heat because it gets converted to DC, to be used in turn by a DC motor, at least in most modern locomotives. This conversion process generates a little extra heat because it's not 100% efficient.
For incandescent lamps there is no difference.
For LED's AC again generates a little more heat because the LED, via its diode function, blocks 1/2 of the AC waveform. This too is not 100% efficient.