@Mad Black  

 
a) Safety reasons. They’re travelling through pre-peace buffalo territory.  
b) The line may have steeper grades than even Ponyville–Canterlot, and double-heading is out of question with locomotives that only have rear couplers. (Otherwise they could be Fairlie’d together back to back.)
 
What bugs me, though, is that the driver has only attached a rope to the whistle.
 
@Background Pony Number 17  

 
Sounds credible in a land where gems seem to grow in the ground.
 
@PanzerschreckLeopard  

 
The water tank is inside the frame. That’s actually how some European narrow-gauge locomotives are made. (That said, there has to be some space for the cylinders as well.)
 
And as we’ve seen in “MMMMystery on the Friendship Express”, the coal is simply dumped into the cab.  

@Background Pony Number 17  
What about water?
 
(Besides, the blackness of the smoke? That’s unburnt coal being sucked out the stack, so the fire’s hotness won’t matter. :P )

@Dr_Robotpony  
Perhaps they don’t need a tender because Equestrian coal burns hotter and longer than regular coal, so all they need is a small pile of the stuff in the engine room. The conductor/driver tosses a shovelful in every now and then and that’s enough to keep it going even for long-distance hauls.

My only wish is for them to add a tender or make it an actual tank engine.

@Bongo  

 
Due to manufacturing delays, it was delivered on time for them to film the opening sequence but not quickly enough for it to be painted in its official livery, so they decided to go with it and hope nopony would notice.

You know I just realized those giant headlights would have to be recessed back INTO the smokebox.

@Bongo  
A pink Baldwin diesel…now i’ve seen everything.

not to forget this one  

@observer
 

The train driver must get his masculinity questioned a lot for driving a pink, girly train with love hearts for windows

Maybe the train itself is the ‘Friendship Express’ while the engine can be swapped out for any engine available in the shed, but the pink one is the engine that mainly pulls with the blue one being a stand-by locomotive.
 
That or they are both the same locomotive but painted a different livery.
 
Either way I am still disappointed by the fact that they just shove the coal into the car behind the engine instead of creating a tender for that purpose.

@observer  
I always thought that. But, you could never know.

I’m sure they have more then one train