No, the sounds are only in the controlling device (iPhone, iPod, or iPad). That's OK for a home layout, but the sounds tend to get lost in a noisy environment like a trainshow. A speaker in the loco, or perhaps under the layout, may be a possibility for the future though, I guess it all depends on how well the initial releases do at the retail level.
I got one of the E-Z App locos when they were first released in early December, and I like it. Now I need to upgrade my phone, because the old iPhone 3GS I have isn't BlueTooth 4 capable. In the meantime, I'm using my iPad, which is a bit too big & awkward to operate using only one hand (but it works ok with two!).
Bill in FtL