This is the only time they pull the train. The rest of the time they are driving the train like an engineer. Was this only a plot device for this episode or did I miss the real reason somewhere?
I dn't think there's a canon answer, but stealth might be a reasonable answer. They're going through troubled territory at the time and might not want a loud locomotive or a trail of steam (visible, perhaps, as the moon seems to be full every night) giving away their position.
Edit: maguirenumber6 pointed out that it's a crescent moon, but it's all rather bright, regardless. Personally, I think Luna's still a little bit competitive. :)