This early S.O.S. is an analog system. Unlike today's digitally recorded sounds S.O.S. generated approximations of the horn/whistle, bell, and steam chuff/diesel engine sounds using analog circuits.
Being a steam locomotive this engine would have the steam chuff sound in real life, and a synthetic one is generated by S.O.S. This sound has to synchronize with the motion of the pistons, and the exhaust valves releasing steam from the cylinders. This is where the wire from the tender to the loco comes in.
In most older Lionel steam locomotives there's a switch (known as a chuff switch) that is depressed every time the wheels rotate. There's some question of whether the 6-8003 has one because the parts breakdown doesn't show it, however it must be there somewhere.
The wire from the tender to the loco, that you've left unconnected, brings in a signal from the chuff switch that is used to turn the steam sound on and off. The reason I asked about the way the static currently sounds is because it's actually not static but the synthesized (crudely) steam exhaust sound, which is not chuffing because the wire is not connected.
Now, if it doesn't chuff after being connected then the connection inside the locomotive from the chuff switch to the wire going to the tender is probably open someplace.
In that case you'll have to take the boiler off the loco and see if you can find the broken connection. Don't forget to check the tender side as well, because the break may be there instead
Good luck with the search for the source of the problem.
Mike