Yes, the bulbs are glued in. If I remember correctly, it is a water soluble glue so a small drop of water will allow you to re-position the bulbs. It's been a couple years since I messed with any Athearn engines, so my memory is getting a little fuzzy.
What really irritated me was this is the same method they used on their Genesis line, so I changed a fair number of engines to LED's and fiber optics. There is a guy on eBay selling pre-made LED conversions.
Cheers,
Brian