You can use the Z-4000 Aux Accessory Voltage (10V or 14V) output to directly power the Lionel building. The 14V output will be slightly brighter.
However, to be clear, do NOT hook up the Z-4000 directly to a Menards building or truck!
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If having two separate lighting power sources and attendant wiring is undesirable, inconvenient, or what have you, then yes there are methods to convert the Menards adapter voltage to a voltage suitable to drive the Lionel building...or to convert the Z-4000 Accessory voltage to a voltage suitable to drive the Menards lighted items. It's not expensive to do so and methods have been discussed in previous OGR threads - sort of depends on your comfort level with DIY tinkering working with electronic components, modules, soldering, using a meter, and so on.
Separately. There have been several OGR discussions about reducing brightness in Menards buildings. That is, from what I have read, Menards buildings tend to be bright - of course to each his own. Also, IIRC the Menards LED buildings tend to have a cooler white color rather than the warmer white color from other manufacturers or from traditional incandescent lighting. Again, there have been OGR discussions on what to do if this is of interest.
