There are many many ways to answer that...
Firstly, why does it happen in trainz? well, probably because you're using one of ocemy's locos and he's insanely obsessive about details like that.
Secondly, why does it happen at all? because you're going too fast, in the worlds of Taxi's Bobby Wheeler 'slloooow doooowwwwn'.
Why does going too fast around a corner result in sparks? Well, Richard Feynman explains expertly why flanges on locomotive wheels aren't strictly speaking necessary:
http://www.youtube.com/watch?v=y7h4OtFDnYE
But in your case, you've exceeded the speed at which the differential action of the conical wheels can offset the centrifugal force.
In other words, you're rubbing the flanges against the rail, metal on metal = sparks a'flying. In reality, it might also result in derailment, many deaths, and another nail in the PR coffin for amtrak