I believe the problem that you are running into is probably, in part, the sim trying to be realistic. Bear with me on the explanation, it does get long...
The Trainz program actually has three modes of operating (as evidenced in the TRS19 driver). They are "DCC" mode, "CAB" mode, and what I call a "command" mode (which is built into the other two modes in TANE and earlier). The "DCC" mode treats the locomotives in the sim as electric model trains, with all the benefits thereof. The "CAB" mode mostly treats the locomotives in the sim as actual locomotives, with all the realism reaching out to trip you up. The "command" mode is more of a CTC or dispatcher style of operating, where you tell your (sometimes really stupid) crew what to do and where to go. These differences in the program trying to be realistic is why you are seeing the issue.
So, how does all that make your problem? Simply put, the first two different modes are almost the most opposite way you can operate a train.
The "DCC" mode is just that; operating the sim like a model railroad with a DCC control system. That means that connected (in the case of Trainz coupled to the same consist) locomotive will move together no mater what, just like on the model railroad. While easy (for most folks), it is not as realistic as "CAB" mode, and generally as we like to have an immersive realistic experience we find ourselves learning to use the "CAB" mode of operating. Now, because we are learning through the sim (and mostly consequence free trial and error) we may miss some of the real world information that gets taught along the way at a railroad.
The "CAB" mode is the programmers best try at simulating a real locomotive. This means that we also hit some of the real life limitations of these machines. We are used to seeing today the results of almost two centuries of railway progress, that sometimes blinds us to the why and how of yesteryear. While here in the US today we can (sometimes) see huge trains with multiple units in a distributed power configuration using Positive Train Control, this was not the norm in years gone by. It is the diesel electric (and electric) locomotive that makes this possible as they can be reliably left virtually unattended for long periods of time unlike steam locomotives. Each steam locomotive has a minimum crew of two as any locomotive of a practical size for commercial use is large enough that managing the boiler becomes a separate task from operating the locomotive. Additionally, while the steam locomotive is the penultimate transportation symbol of the industrial age; each one is a hand built, one of a kind product. It it these two things that more or less prevented railroads from designing a practical "Multiple Unit" (MU) control system for steam locomotives, as well as the crew being cheaper than most systems that could be thought up. If a railroad used more than one steam locomotive (or even non-MU equiped diesels) the crews had to communicate over long distances, usually in an age before radio communication. This meant that there was a corresponding increase in the complexity of the operation (and the things that could go wrong). It was generally considered better to send two smaller trains than one large one with multiple locomotives, this is one reason why you could see a second section (i.e. lead train with green flags) of a train. All this really means is that in order to be realistic, the sim has to not allow MU consisting of steam locomotives.
This by itself is not a problem, it can be solved just as it was in days gone by. The problem becomes one of control, both practical and program wise. There can only be one place that braking is controlled from, due to the design of the air brake system (the practical problem and solved). This does mean that the controlling locomotive is in charge of all the train brakes and any additional locomotives are merely extra power. Therefore any subsequent crews are subordinate to the controlling crew and it appears the program is not configured for that (the programming problem). Not only do you need a hierarchy for the AI but you would also need to add the player into that as well. I'm betting this whole thing is in some "never use these ideas" or "only work on this once we have everything fixed" sort of place at Auran/NV3 as I certainly find many more questions than answers.