The current in one direction goes through all the diodes, in the opposite direction it goes through the one diode and the switch. That imparts the DC offset to the track and triggers the whistle/bell function.
Note that for normal running with no switches depressed, the current goes through all the diodes in each direction. That results in an insertion loss of around 3-3.5 volts, so typically it takes a bit more throttle to move them out. OTOH, for many conventional locomotives with can motors, the lower starting voltage actually helps low speed running.
