The locomotive that arrives in Chicago is not the same one that started the journey. When Larry adds oil to the smoking "hotbox" en route, for example, the wheel has an outside journal box that he puts the oil into from a can. The locomotive that arrives in Chicago has an inside journal on this wheel (under the cab), a different type from the one it had earlier.
When the rescue train pulls out, about 4 and a half minutes into the movie, you can see the bell clanging on the locomotive but there is no bell sound. Minutes earlier as the locomotive was on the round table you could see and hear the bell clanging.