It could be a loose connection or lead going to the bulb. If you are comfortable with basic electronic skills, you could remove the tender body and fiddle with wiring under power. In most cases I've been able to get the bulb to light. However, removing the tender cover and fiddling around under power could lead to further damage and void your warranty. If you have a local Lionel Service Center, that would be your best bet. If you want the kids to have the engine during the holidays, it won't hurt to run it as is. Even if the bulb is burnt out, it is a minor repair.
Merry Christmas!
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