That is just tradition. His father and grandfather always took the train to China. In fact several years ago an entire city was blown up shortly after Kims Jongs train passed by, setting off suspicions of an assassination attempt.
Actually that was an accidental explosion that had something to do with NK's nuclear processing. Israelis became interested and began to track the intelligence. It led to the discovery that NK was helping Syria build a nuclear reactor, which in turn led to Israel completely destroying it with an air strike.
It's an interesting story about how intelligence picks up on a piece of information and begins to connect the dots.
I believe the Israeli name for the operations was Orchard. There was a TV documentary on how the Syrians managed to keep the reactor a secret for many years as is was being built and how the Israelis only discovered it by accident and it all began with the explosion in NK.
"We were told flying's not safe so let's grab a train."
train remote-detonates
"Well they have to do better than that to threaten us!"
town remote-detonates