There is a payware peak by Perchpole, if you want to buy one, but odds are on that one is included in the latest Trainz Classics.
To answer the first half of your question - I haven't tried the Royal Scot, but it should work fine in TRS04, if it worked in UTC, so dependencies are probably the issue.
Assuming you are referring to JetStreamSky's engine, here are the following Download Pages, from which you can double check you have the dependencies