Good news: Rod Miller's advice worked. I turned the smoke switch on, put one-fifth of a medicine dropper of JT Megasteam smoke fluid in the smoke stack and ran the train in Command mode with 18 to 19 volts of track power, and the smoke unit in this gorgeous caboose worked.
Smoke is one of my favoite features, and this is the only smoking caboose I have, so I'm very pleased.
The caboose now rarely derails moving forward, occasionally derails running in reverse, but I can minimize that by running it slow.
Another problem is that one of the couplers occasionally opens when it's not supposed to do that. So, I used a black wire tie to connect that caboose coupler to the coupler of the train car in front of it. That seems to have eliminated the unwanted uncoupling. Arnold