I don't see why you couldn't use CA glue for something like this. It will certainly work on metal and has the advantage that you can hold the "classification*" light in position for the ~20 seconds it will take to set up (just don't glue your fingers to the part in the process...!). Probably not as strong as JB Weld, which is good stuff, but this piece is so lightweight and unless you expect to be taking the engine in and out of boxes that might stress the part, I think JB Weld is overkill. Besides, since it is two part epoxy, you'll win up mixing up far more than just the 'little dab that will do ya'...
*there was a long-ish discussion about classification v marker lights on this forum a while back and if I recall correctly, the class lights are on the front and the markers in the rear... FWIW. If I further recall correctly, on 'real' RRs, the class lights were seldom lit - something like white if there was a second section following the train and green if you were that second section... Someone with a better memory or better knowledge will likely correct this!