The P&D kits come complete for a generic model of the given loco. They include pilots and the parts needed to complete the kit. The original kits which I have, had wire to make grab irons. Later Pat developed Lost Wax Cast grab irons for the kit, I don't know whether the cast ones are now included in a kit or an add-on. I think he might have included them in the later kits.
If you want to customize the loco to represent a specific prototype, then you have get addional parts. For example for the Pennsy, I wanted passenger style pilots and roof antennas and the big lift rings on the nose. Those were additional parts. I think if you want a steam generator for passenger service it is separate. I am pretty sure there are separate interior kits that P&D sells. The kits do not come with interiors. also, they do not come with couplers I don't think. and for the rears, if you want to use Kadees, you need the short box version to clear the axle gear box. I do not have the number at hand.
I think they come with two panels for with or without dynamic brakes and the included fan. All fans are included and roof lift rings and windows as far as I remember.