Why is there a train station in the middle of the jungle?
It's a video game.
That's not an answer. Come on. Try to think about it. Maybe the jungle is a tourist spot?
Archeologists use the train to commute between Station Square and the Mystic Ruins. It was probably integrated into Station Square for the sake of being a tourist destination.
How did Birdie get a locket with a picture with his family in it, much less one with a Chaos Emerald? Did he purchase it? How can he even lift it?
It is a video game.
See above third tier bullet point.
It's been shown that all animals in the Sonic World are higher functioning than what would be expected of normal animals. Birdie's family probably got the locket and took a family picture to put inside it just like any human or anthro would. As for the Chaos Emerald inside...*Le-Shrug*
The Chaos Emerald is a shiny object, birds like shinies, and the Chaos Emeralds are hidden across the "world" anyway. The three birds find it, keep it, and then two of them get kidnapped by Eggman and the other one gets chased by Zero until it runs into Amy.
Could Sonic have reached the last Chaos Emerald before Chaos if Tikal hadn't stopped him with that final vision?
Given how often Sonic lost the chaos emeralds every time by some contrivance, then no. Vision or not, Sonic or somebody in the game would've lost it to Chaos anyway.
Is Tikal sending the heroes back in time? Did those brief moments when they interacted with Tikal in the past actually happen?
It is either inconsistent writing, or some characters were sent into the past (Tails) while others only received images (Gamma)
Actually, at one point, Tails mentions that Sonic apparently was "out of it" during his visit. Course, it might mean that they'd have to have seen him standing there with a blank look while his mind was literally in the past.
If that is the altar for the Master Emerald, then what is the Hidden Palace Zone?
Well given the name it's probably a place where the guardian hides the Master Emerald when they know their is danger.
I assumed that the Chao Colony altar was abandoned and Hidden Palace built to replace it. When Hidden Palace [[Sonic3&Knuckles was damaged and rendered unsuitable for housing the Master Emerlad]], Knuckles just took it back to the Chao Colony altar.
Regarding the Inferred Holocaust: Really, none of the characters give a shit about an entire metropolis destroyed and its population presumably killed? "All's well that ends well", Tails? What?!
I guess he felt that it could have been so much worse.