There is really no reason for Anjean not to give Link the Lokomo Sword at the very beginning of the game.
You could probably Wild Mass Guess it as the sword not having power until all the rail maps are complete. Or something.
She's pretty old. Maybe she just forgot she had it with her.
She didn't think Link was meant to use it. Like she said: "Until now, only the spirits have wielded this blade."
So... assuming that that WMG about the shortcut from Castle Town to the Tower of Spirits is right, note that is to say that the overworld is larger than it appears on the map/when traveling by train, and that's why Link and Zelda didn't just walk the same path (where the tracks used to be) to the Tower of Spirits the first time how did Link and Zelda get back to Castle Town after beast form Malladus? The Spirit Train makes an appearance in the credits, so we know it was around, but there weren't any tracks in the area and who knows where the actual train was at that point, since the last time we saw it was in the Dark Realm. We can't even tell where in Hyrule they were— the scenery looks like a cross between the Fire Realm and the sand portion of the Ocean Realm; the Tower of Spirits is visible, but you can see it from pretty much anywhere, so that really doesn't help. Anybody have any ideas?
Personally, I figured that they might just have walked... The credits montage indicates that quite some time has passed, as Teacher is back in Castle Town, no matter where you left him last. It is also possible that all of the Dark Trains vanished along with the Dark Realm's entrance, and curious people started their trains back up - Zelda and Link could merely hitch a ride back to town from there.
The Sand 'Realm' is, technically, in the Ocean Realm. Spirit Tracks is a rough sequel to Wind Waker and Phantom Hourglass— the latter of which placed an emphasis on sand... in an ocean setting. It's also been noted, elsewhere on this wiki, that the Ocean Realm's symbol resembles an hourglass. Might be a coincidence, might be an obscure Continuity Nod / Mythology Gag (hard to tell which with the continuity, sometimes.)
The colors on the pipes of the Spirit Flute all correspond the six Lokomos you meet: Gage, Steem, Carben, Embrose, Rael, and Anjean.
A small one here: while playing the Snow Temple in Spirit Tracks, I noticed that the the completed bell puzzle sounded exactly like the first bit of "Do You Hear What I Hear." I thought this was a bit odd, and I'm still not sure if it was intentional. But I realized that if it was, then it's a pretty clever Easter Egg. Why? Snow Temple...snow...winter...Christmas... -gatekeeper827
This incarnation of Zelda is noticeably feisty, even if she tries to play the princess' part dictated "by family tradition". Why? She's Tetra's granddaughter. She must have inherited some of the pirate genes.
The Final Boss is Malladus possessing Chancellor Cole's, having mutated the latter's body. That is pretty scary on its own, but remember: he had also possessed Zelda beforehand. Had Link not won, would Zelda's body have been horrifically mutated the same way, in time?
Not really. The main reason why Zelda's body was needed for possession was because it was apparently the only suitable vessel to contain Malladus's spirit. When Zelda's spirit reclaimed her body for her own, Malladus was left without a vessel to inhabit. The closest thing he could think of possessing in such an emergency was... Chancellor Cole. Who is a demon, and apparently not a good match. Hence the "mutation".