This probably has to do with the display memory and how DirectX works versus Open/GL. You are actually making your video card work extra hard by minimizing to the desktop at the same time even though you are not seeing Trainz open at the same time. This also has to do with the amount of video memory you have on your card. If you are in the gigabytes, then there's less of a problem with recovering back to the program after the switch.
Depending upon how the bobies are made, and in particular with steam locomotives, there can be a lot of mesh that has to be drawn, and this eats up a lot of resources that are taken away to display the desktop. So when you are going off to display something else, instead of Trainz, you are taking away the resources that can be used to draw the bogies and other high-poly items. The program has to sacrifice one over the other. The thing is, the program doesn't recover well after the swithc out all the time.
John