The classic Lionel transformers and their whistle activation buttons have 3 positions:
Off - No whistle
Pickup- High DC offset just enough initiate the command
Hold - Minimal DC offset to hold the whistle command active and an additional +5V Boost to for older air whistles
The modern electronics generally only react to the Pickup and not the Hold position.
On the KW, the Pickup position is selected by turning the whistle lever, but not all the way to the stop. Turn it just shy of the Hold position (just shy of the position that provides the 5V boost).
Let us know how that works out for you.
EDIT: My brain and fingers must have crossed at some point and in this post, i confused the positions initially here - refer to my next response with the Lionel documentation for correct names
