I have a pair of those. Both of mine had loose parts in the box (stairs and MU hoses). A friend of mine had the same issue, so this seems to be typical. Just open the box somewhere that you can find things if small parts dump out. It was an easy fix with some superglue. Apparently Lionel couldnt spare the glue when they built these things.
Once its whole, they run and sound great. Wish it had a plow... I'll probably fit one when I get a chance.