Thanks for all the responses guys! Getting others' perspective is a big help with me being so new to all this.
Poppy's and GGG, sorry I don't think my 'wee-hours' post was as clear as it could have been (I work nights), but I only have the "DCS Lite" or DCS Remote Commander setup, the very basic type that comes in the MTH R-T-R starter sets. So there isn't a "lights" button that I'm aware of (unless there is some secret combination of buttons on the Remote Commander that accesses that command).
I did try the feature reset as GGG, Marty and drelo suggested, but I tried it with the little remote commander (remote) so I don't think it took, and am guessing it's like drelo suggested...feature reset is intended to be done with a Z type transformer bell & horn button combo, or with true, full DCS which I don't have. I do have a z750 though, so I'll give that a shot today.
I also realize the feature reset is not the same as the 'full factory reset' Barry describes in the companion (I'm finally ordering that today, even though I do not have a full DCS system...as Marty mentioned, I've wanted to avoid temptation to this point), but not sure it requires a full factory reset at this point...not sure.
I'm leaning towards Chuck & Marty's diagnosis...light bulb issue. Everything else seems to work fine. I tried giving several seconds even up to a few minutes for capacitor charging, start-up/shut-down cycles. I tried disconnecting and letting everything sit. I 'carefully' tried unplugging and replugging the drawbar a couple times. I even pulled out my other 'dcs lite' (from my other MTH PS3 starter set) and swapped it with this one...still no luck.
The set shipped parcel post from Massachusetts or Maryland, and likely had a bumpy ride as some of the carton packing indicates, but no obvious major damage other than this light. It did work when the engine was first started, and although the horn did stay 'stuck on' again at some point until I hit the horn button again, I'm hoping this is not preliminary indication of a board issue...fingers crossed. I can't see spending the $30 it would cost to return the entire set (not that anyone suggested it...just kicking around ideas if turns out to be more than a loose or blown bulb, and don't know that the distributor would ship a full set replacement any differently given the cost. Dealers around here seem to build the shipping + some, into the cost, so mail order was the most reasonable way to purchase...guess some of this might be the potential downside of that approach.
Amidst all the different attempts to get the light to come back on, I did put the engine through it's paces (sound, no sound, fast, slow, direction, coupler, smoke, no smoke, PFA, etc, etc, and other than the two times the horn stuck on until I hit the horn button again, everything else worked fine.
I'm not thinking this warrants shipping the engine to MTH either, but I am instictively a bit relunctant to open a 'brand new' engine up (also in part because I'm new to all this myself). However, I'm thinking the best course (if the light does not come back) might be to just register my warranty and contact MTH about a replacement bulb just in case, and go ahead and take the top off to check the bulb. What do you guys think?
Many thanks,
Robert