Robert is only half right as people have managed to get this to work, however he is right that the AI loco wont enter a section already occupied. So you have to cheat a bit and start the AI loco out of sight, but within the section occupied by the player service. You also have to set the performance really low so it doesnt crash when it couples.
Sometime ago there was a long discussion about this and someone posted how they had managed it. Ive never tried it myself. A search might throw up the right thread

I believe that one of the Dorset Coast activities is very similar, in that the AI train run in behind yours and couples itself to your train
