Ken - Dean answered the one question already, the consist does whatever the lead locomotive is set to automatically.  No need to change anything on any follower locomotive.
Second question - Ring thinks that brass locomotives may attenuate the signal some, but how much I don't know.  I haven't installed in brass myself, but I do have a couple of locomotives that I'll be doing for a friend.  I'm interested to test the results.  I imagine it may attenuate the signal to some extent but without testing I can't say for certain.
Third question - the horn only sounds on the lead locomotive (or which ever locomotive you are currently selected on).  You can select any locomotive in a consist and control it's own function directly if you choose.  However, when you are controlling a consist you will normally be controlling the lead locomotive and therefore only it will play sounds like the horn, bell, brake, coupler, etc.
-Kevin