The instructions for my engine say "9V Battery is not factory installed." However, running conventionally, the sounds persisted for a number of seconds after I shut down track power. The instructions also say "To install the battery for conventional mode, take off the tank, 4 screws, and 8 screws along the edges of the chassis. You will see the 9V plug and area to insert the battery."
So, I'm not clear on where or whether a battery is installed, but my engine seems to operate properly as is.
MELGAR