I wouldn't worry about collectors value, the girl's train is an interesting piece and to have it for that reason is great. Collectability with something like this would be reserved for mint condition pieces or if there was something like a rarity.
It might work, I think Lionel originally used an enamel paint that was baked on, and if you want to try and see if you can remove it, alcohol might be the way to go, using a rag dampened with alcohol and gently rubbing. It is possible the paint used was an acrylic and in general IME (and I claim no special expertise with paint), older paints tend to be tougher, especially if they did bake on an enamel versus a lacquer based paint. The worse that can happen is you would be removing the pink paint as well, but given the state of the engine you really aren't losing much.
If you like it simply as a historical artifact, then either repaint it pink yourself or have someone do it. Again, won't make it a collectors item, but will I hope give you enjoyment, which is what matters
I am not so sure the Girl's train would do much better today (though I hope your girls love what you are getting, that is class!), I think Lionel misread what girls would want, pretty much the same thing as the boys I suspect.