Not having a module for a Legacy engine is not standard; recently I have had Legacy operating cars (like the crane and boom cars and the StationSounds diner) that came without modules but these could be programmed manually through the CAB 2. (The boom car manual included instructions on how to do this.) However, I did have to update the Legacy controls to the latest version to run these cars properly. I expect you would have to check that with the new AC-9.
I agree you can program a Legacy engine without the module but this is not very convenient. On the other hand, the module can't add any features to an engine and the system to access them is in the Legacy base and CAB2. So I have often wondered what the module does other than to provide the specific engine name and save you the trouble of making the "info" settings about engine type, sound system and so forth. Somebody who knows more about Legacy may be able to comment on this.
In any case, isn't your best course to contact Lionel direct and/or the seller to see if you can source a replacement module if needed? Maybe the seller inspected the model before shipping and forgot to put the module back in the box. Lionel would probably walk you through the CAB2 setup over the phone.
As regards the smoke fluid, I don't recall that my most recent Legacy engine included any and I believe that some while back Lionel stopped including it with higher end locos.