MTH Premier Proto 3 Genesis- Red Molex no pin?

Normally, the red connector is for the smoke unit heater.  There are also frequently extra unused connectors in many DCS locomotives, so it may have not been used. 

Question: Do all the functions work, lights, smoke, etc.?  If so, it's probably an extra.

@gunrunnerjohn smoke works better than ever, lights are fine. I was primarily concerned it was a connection to the rear directional marker lights but everything checked out on inspection and on the track. Thanks for your input.

I am happy I opened it up when I did, a wire worked it’s way between the smoke unit and the large green object, enough friction was caused that it had exposed the bare wire

The "large green object" is a speaker baffle.   Good thing you found that wire, PS/3 boards don't take kindly to any connections to the frame, it tends to release the magic smoke!