1. The structure numbering system info for Chama suggests the other uses of the oil house
"18 Store and Oil House, Roundhouse, Foreman's Office"
2. The sign to the right of the fire doors on the oil end of the building reads:
Earl noted the other sign addressed no smoking, so is it possible this was that sign? (Interior view of oil house, 2011)
3. The large wood door was likely to the "Store" part of the structure, and the small window to the left provide some light in the store area
6. As others have said, the box carried steam pipe from the boiler house, and maybe air as well. Early photos show what appears to be a single wrapped pipe without the frost box.
Conjecture on my part is given no smoke jacks appear through the roof of the structure until maybe the fifties, the office space in the structure was likely steam heated as well.
You can see two pipe stubs in the end wall in this 1980 image. You can find a pipe stub and patched holes that match these on the boiler house south wall.
The other image was taken by Jim Holmes in the late 50's or early 60's. Some additions to the frost box support, one sign is missing, a door has been re-sheathed (or replaced), but the rain run-off diverter is still above on the the doors!
This structure was built in 1903 according to info in "The Train Stops Here New Mexico's Railway Legacy" (Marci L. Riskin), so door and window modification and replacement is no surprise. Early photos show the office end windows as being 3 x 3 light upper sash and lower sash from what I can tell. The single sash small windows seem to show in the photo you posted 3 light wide by 2 light tall, while the current windows are 2 light wide by 3 light tall? Have fun deciding what version you want to build! Gotta love that concrete slab roof too, I guess the D&RG wasn't taking any chances with flammable liquids after the Chama fire of June 12, 1899.
Dave Adams