Your settings are all correct.
The brake is set up similar to the real thing, which means the brakes won't be applied at the same time that the throttle is on. Turning the throttle down to 0 should mean that the locomotive is still coasting. If it is not, then you'll want to change your deceleration value to be higher, and probably increase the load setting. This will allow you to turn the throttle all the way down and the locomotive will still roll. It will eventually come to a stop on it's own.
With the throttle at 0, press and hold the brake button until the locomotive comes to a full stop. The sound will play when the speed is just about 0. If you are not pressing the brake button at that moment then the sound will not play...just like if you were to let off the brakes on the real thing and let it coast to a stop, you would hear no sounds from the brake shoes. Brake shoes only squeal when they are applied right when motion just about stops.
Watch this video from 6:43-10:30 and it will help you visualize it better:
-Kevin