First of all, realize that the reason Rio Grande kept running the Rio Grande Zephyr instead of joining Amtrak was that they determined that it would cost them less to run the train themselves than it would to join. They didn't make their final decision until just before Amtrak started, so the numbers were probably very close. The need to spend a significant amount of money on equipment probably would have tipped them the other way. Considering that, I highly doubt that Rio Grande management ever considered new power specifically for the RGZ. Even if the F9s failed, Rio Grande had steam generator cars (rebuilt from Alco PBs) to allow regular freight diesels to pull the train. If they wanted to replace the F9s, freight diesels and a generator car they already had is cheaper than new F40PHs. HEP might have at least been considered, but they would have had to take all the cars out of service to convert them and acquire HEP locomotives or generator cars, and I doubt that they would have converted the old Ski Train heavyweights to HEP, at least not right away, so they still would have needed the steam generator cars too. Far more expensive and complicated than just maintaining the status quo.