I had the same problem not too long ago. After much help and suggestions from the folks here and Tim Ring, it turned out that I had one locomotive in my list twice, so that when I went searching for the one locomotive that couldn't be found, I did find under an alias. It wasn't too difficult for me to find the culprit because I only had three pages of locomotives to go through, you've got 39. It's only a matter of time. I put the offending loco (#166) on a test track and then selected each loco on the HC-2 until I could control the bad boy (turned out to be (#130, which I didn't realize I had two of). I couldn't control the locomotive using the other 130. Then it was just a matter of resetting it to the correct name. At least this is what my faulty memory is telling me. Hope this helps.
Geoff