If it helps, I had a similar experience a few months ago, also on a connecting international flight into the US.
It was around Christmas 2010, routing LHR-JFK-BOS, and when I opened my bags at my destination, it looked like someone had tipped out the contents, jumped all over everything, and stuffed it back in the bag. Some (not all) of the gifts had been unwrapped (well, that's too kind a term -- absolutely shredded to bits would be more accurate), some had not been unwrapped, some were missing altogether, and some were still there intact.
There was no brochure or other insert to indicate that the bags had been searched or security screened, so I assumed that the items had been stolen. I added the theft claim to my list of things to do, but never got around to claiming anything.
Then, about a month later, a letter arrived from the FAA (yes, the FAA) saying that the investigation into my illegally-checked items had been concluded with no prejudice toward me.
You can imagine my surprise. What investigation? What illegal items? What on earth was going on?
Did some research online, and it turns out there are some
crazy things on the list of items you can't check in luggage. For example, refrigerator magnets. Because they might affect the aircraft's guidance systems.
flyzabit, I'm not saying that was the case for you, but maybe the highly esteemed and intelligent gentlemen and ladies who screened your luggage thought that the toy train and power supply (or the contents thereof) fit one of these unlikely criteria, in which case you might receive a similar letter in the mail in a month's time.
At any rate, hope the story might be of use to any others who get these Orwellian letters from the FAA.