So I got it to work.
I started off with the settings in the previous post but no go. I read some more and went with these settings ...
CV 19 to 38 (consist address)
CV 21 leave at 0 (decoders just have forward/reverse lights no other functions)
CV 22 to 1 (forward lights controlled by consist address)
CV 57 to 102 (back EMF to remain active when using advanced consisting)
CV 19 to 166 (consist address 38 + 128 because loco is facing the other way)
CV 21 leave at 0
CV 22 to 2 (reverse lights controlled by consist address)
CV 57 to 102
Lights weren't working the way they should have so I read some more and found the solution.
On the Digitrax Zephyr I changed OpSw 17 from CLOSED to THROWN and then it all went good. When it is CLOSED "automatic advanced decoder assisted consists are disabled".
I even went to one step further and speed matched a third loco that has sound and put that in between for a 3 loco consist. Everything works like a charm - from the top consist address the headlight on the lead loco works as it should - on going forward, the headlight on the last loco works as it should - on going backwards (as it is facing backwards), all other lights are off, and all the sounds and mute work as they should.
A good evening session.