I'm not certain about the Climax, but on other Bachmann Large Scale locomotives with the socket like the K-27 and C-19, you must also supply +5V to the lighting/effects buss. If you leave the factory boards intact, this will be provided by the board if there is at least 9Volts on the track, or if a voltage source is connected to the battery input.
Iv'e wired C-19's for R/C both with and without the factory boards and can dig up the pin-outs I used if you want them. Should be the same with RailPro.