Train wheels are a conical shape, and that geometry makes them hang between the rails in straight sections, and swing dynamically around bended rails in a way that prevents them from coming off the tracks. The ‘stickyness’ is entirely due to geometry, instead of the texture of the wheels and rail.
The metal part of car wheels are shaped to hold a rubber tire which is doing all the work to hold your car to the road in a sticky way. The rubber section isn’t going to hold up against braking friction though, so it has to be the steel section that takes the braking.
Cars are light compared to trains, braking cars is much easier than braking the behemoth mass of trains.
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