If you have a board test fixture as noted above plug it into that and make sure it works correctly. If the board works correctly disconnect the CV board from track power and try the board in the locomotive. If that solves the issue the check the 22uh choke for shorts or try a different choke/CV board.
In the PS3 steam conversions I've done for myself (4) and for a friend (2) I've never used a CV board or the choke. I just run all the lighting off the headlamp circuit and use all 3mm LEDs. I use a 470ohm resistor on the power wire for the headlamp and 560ohm resistors on the power wire for all the other LEDs (markers/class lights, number boards, cab light, firebox light). The nice thing is no CV board is needed and the locomotive remains dark until powered on.