Rule one, if you're driving in Advanced mode stop looking at the HUD and look at the controls in front of you in the cab, drive a locomotive not a game object
The 4200/5205/7200 only has a basic brake with just a large ejector. There is no such things as notches (Release, Apply, Running)... that's just the way that TS expresses itself.
So in Adv mode you have 2 controls for braking: the brake lever and the large ejector lever. Quite simply, the brake lever lets vacuum out of the system (and therefore applies the brakes). The large ejector creates vacuum and releases the brakes.
Other than when braking the brake lever will always be over to the right - you don't want to be letting any vacuum out of the system. You only move it to the left to let the vacuum out and put the brakes on.
The ejector lever is pulled down to create the vacuum and release the brakes. Now, due to leaks in the pipes some air will always be sneaking in to the system so once your brakes are released (25" of pressure on the gauge) you can close the ejector most of the way, just leaving it on a little to keep that pesky air from getting in. However, once you get above ~15mph you can close the ejector fully as a mechanical ejector attached to the wheel motion will take over and keep the air out so you don't have to waste steam powering the ejector.
Simples, as a meerkat once said
Just try and picture what the levers actually do and you'll be fine - the brake lever opens "holes" in the pipe and lets the vacuum out (applying the brakes). The ejector uses steam pressure to create the vacuum (releasing the brakes).