When using Lionel type power supplies the terminal marked - U - is the common or ground terminal.
That's not universally true. Specifically, for the 1033, the U terminal goes to the center rail. If not, the whistle will ring the bell instead. There are a couple of other PW transformers that are wired that way as well, but the numbers escape me right now. I happen to have a couple of 1033's here, so I know that one for sure.