I've only recently acquired the LM-3S 21 pin modules, so all of my past conversion have been using a 9-pin to whatever (8-pin, 9-pin, 21-pin, hardwire, etc. harness. I do full sound modules on all my units - As, Bs and hood units. The covered wagons have 2 speakers each, the hood units have a minimum of one speaker and all units have Keep-Alives.
In my era, consists were always changing, so the flexibility is key. One passenger train could be all covered wagons, the next could have 1 F-unit and 2 GPs in the consist. Freights could also include covered wagons - nothing like seeing a F7B in the mix with some SD40-2s...
Sound comes through all speakers, but the consist is smart enough to keep the bell and horn to the lead unit. Unfortunately, it also keeps Brake Squeal and Dynamic Brake sounds to the lead unit, when those should be heard across the consist.
Hope that helps.