It depends on whether you are powering up in conventional mode or with DCS(signal on the track).
If a DCS signal is present, the loco will sit there silent until you start it up by pressing the appropriate button on the remote. You should hear a faint "click" sound when power is first applied to the track, indicating that the "watchdog" signal was received, switching the engine into command(DCS) mode.
If conventional mode(no DCS signal present), the loco should start up with sound and lights after a few seconds. If the battery is low/dead, the sounds may be low or distorted at first until the battery has a chance to charge for a few minutes.