Thank you everyone. Not having proto sounds explains a lot. I don't mind, still love the Engine as I have other engines that Chuff and it gets too loud/chaotic if every engine chuffs. But it does explain why the whistle is not super high quality. Thank you for confirming I don't need to replace a battery! Looking at the box it says equipped with electronic whistle and "optional equipped with proto sound". I am sure I knew a long time ago (ie when purchased) that all it had was an electronic whistle. I had just forgotten that it did not have PS1.
By the way, I just replaced the battery with a BCR on five PS2 engines. One had a tiny bit of green corrosion on the battery connection. The corrosion came off with a bit of rubbing. I am glad I replaced them now and not later!