The CW-80 supplies AC, but many newer starter set locomotives (Lion Chief) convert that to DC for the motor. However, they might have a warning: "This engine is designed to operate on AC current; operating on DC current could damage sensitive electronics." I believe that is because there are components other than the motor, that are designed to run on AC only.
Obviously if you have a conventional engine with an open frame AC motor- only run it on AC.
The only concern w/ using the AC output of the Locomotion 2500 would be if the AC side did not have enough current. I have found that my engines pulling cars (from postwar- to modern) all use about 1.8 - 2 amps.
Check the label on the Locomotion 2500. I would never starve the locomotives for power, you might do some damage to them, or to the Locomotion 2500.
I think 2 amps converts to about 36 watts (your CW is rated at 80 watts, or can run loads up to 4.4 amps if it is at 100% efficiency.)