The sticker says don't use alkaline batteries. 2 alkaline batteries give 3.0 volts; rechargeable NiMH or NiCADs give 2.4 volts. Also, they are not rechargeable, which means you'd be taking the loco or tender apart regularly. If you can afford a $250+ locomotive, you can afford an $8 MTH battery or a pair of AAA NiMHs.
Gunrunnerjohn gave the best suggestion. That's what I use in all my PS2 locos, except 2.5F rather than 1.5.