Yes, it does. That loco does have a speaker. The native sound system is LocoMatic. The Locomatic system is described starting on page 8 of the owners manual. LocoMatic requires a LocoMatic controller described on page 11. It goes in series with your transformer and will not cause trouble with your other Locomotives.
The controller and boards are no longer made, but I'm sure you can find them. In fact, I'm sure I have both in never used condition. (I'm DCC, don't run LocoMatic. I was the SHS webmaster for the last 10 years so have a lot of SHS equipment, much of it never used). If you want me to see if I have these items, let me know.
By the way, all SHS locos except the SW1 had a LocoMatic option, and will all operate with the same SHS #00552 LocoMatic controller.
Alternatively, the units were designed and built for SHS by Dallee Electronics. I expect they would have a solution that would add sound to your loco, although it might not be a plug-in.
Bill