>>1191348WARNING: Technical shit ahead:
These sorts of trains are driven by DC (direct current), brushless motors. This kind of motor has multiple poles like a brush-type motor does, but the current is switched to them electronically instead of by brushes riding on a rotating commutator. In order to control the speed and torque of the motor, the motor controller electronics not only has to control the speed at which it switches current from one pole to the next, it also has to control the current being supplied to the winding for that pole. The method used to do this is called 'pulse width modulation', or PWM. This method turns the current 'on' and 'off' as a ratio, and the total power supplied to the winding is directly proportional to that ratio; if the power is 'on' 50% of the time and 'off' 50% of the time, then the total power over time to that winding is 50% of what's available; 25% 'on' and 75% 'off' means 25% power; and so on. PWM is driven by an oscillator in the control electronics, and that oscillator has a fixed frequency regardless of the ratio of the pulse width, and that frequency is in the audible range for human ears. The 'siren noise' you hear when the train is just starting to pull away is the vibration in the motor windings and ferrous pole pieces caused by the PWM motor controller trying to get the motors moving. There's lots of motors so the noise adds up to being a bit loud and noticeable.
Here's an experiment you can do to simulate what happens above with these trains: find a cordless variable-speed drill. Pull the trigger slowly and only partially; you'll hear a high-pitched noise coming from the drill as it starts to spin. A drill doesn't use a brushless motor but it does use a PWM motor-speed controller, so the concept is similar.
Make sense?