Bill,
A few comments or clarifications...
First, this doesn't happen with all DCS engines. I've seen it happen primarily with some of my steamers, particularly where the PS2 or PS3 board is in the tender, rather than the boiler. This is not a hard and fast rule, rather, it's my personal observation.
Second, when it occurs with a steamer, it appears to be only the lights of the engine that are affected, not the tender. This would include the engine's headlight, marker/classification lights, number board lights, interior light, and firebox glow.
Third, it is not something that happens every time that the remote's smoke button is pressed. It is quite intermittent, and may occur more or less often on different layouts.
Fourth, if you like to run with smoke, as do I, just ensure that the conventional smoke switch or potentiometer on your DCS engines is turned on or fully turned up. The engine will use that as a default for DCS startup until you change it under DCS. That allows you to ensure that smoke will default to "on" at every startup.
Last, this bug has not yet been corrected in beta. Although the current beta fixes several things, we (the beta testers) don't have beta that has this fixed.