After taking apart the tender to ensure that the speaker wires were still attached, I reassembled the tender.
I took out the 9V battery and installed a new one.  Well that did it! I should have done that at first!!

I just received this 4-6-0 engine and set (night before Christmas) and everything was running just fine.
The smoke unit is working, the sound was working. The light works.

However, today the sound would not come on when I ran the train. I checked the switch on the engine, I checked the wiring from the tender to the engine, and I checked the volume control under the tender.

There is a fresh 9V battery in the tender, which expires in 2017.

What are the problems that can be associated with the sound unit?  Or maybe I should try a new 9V battery?