Do you know if it is a new Dash 9, and older Dash 9, Athearn RTR Dash 9? There are several versions of it out there. If it's one of the older, non ready to run engines (you have to install the handrails), it is very possible it is a broken axle gear. It wil go "clunk, clunk, clunk" when running, usually louder in one direction.
You can see if that is it by gently turning the engine over on its' back, and running your thumb over each wheel in the front truck, like it was rolling down the track. Do this with the motor and drive shafts connected. If one pair of wheels rotates with your thumb moving it, that gear is cracked.