It's really not a mystery, Heckman moved the 9 over to Keystone so there could be some railroad equipment to promote the line on that end.
I saw the operation only once, and that had to be in '86 when Todd Hackett and I went up there to measure the equipment for an Overland Models project. The 9 was back in Hill City then. The 9 and the RPO were sitting on three foot gauged rails, but not together. The coach and 911 were sitting on ties, and there was speculation Heckman had lost or sold the trucks.
It was, as I recall, Heckman's position that several of the missing parts were stolen while the engine was in Keystone, including the bell. He complained to me about the cost of moving the engine back from Keystone before it was scrapped completely by vandals, and how much money he had spent on the little engine's upkeep.
I can assure you the wood parts in the cab had seen more urine than paint in the longest time.