Wade had several chances to escape from Evans after they left the hotel room to make it to the train. When he had Evans choked, when Evans fell down after jumping from the roof. Why didn't Wade escape? Was he doing it to save Evan's life? Had he given up and desired to make amends (he talked about the Bible several times)? Or was it because he knew he could just escape Yuma prison as he did twice before?
He didn't escape because he liked Evans and wanted his family to get the reward money. He made sure that would happen before he boarded the train. Once the reward was confirmed as being for Evans, he planned his escape.
I agree with the idea that he definitely could have escaped numerous times. He has enough experience with it-- but that's probably why. He already knows what to do, but he's also probably bored with just escaping every time. If he helps Evans and chooses NOT to escape all the time, it won't be the same old story he's used to.
He didn't try to escape at first because he liked Dan and wanted to play along for a bit. Then in the unfinished house he said something to Dan like "I'm not going to play along anymore".
Soon after that, Dan told Wade the real story about how he lost his leg (friendly fire during a retreat) ending with something like "Imagine if I told my son the truth about losing my leg".
That is when Wade decided that he would make sure that Dan's son saw his father successfully get him (Wade) onto the train.
Then at the train:
He had to kill his gang because they wouldn't let him get on that train. There would have been no way to explain it to them, especially without Dan's son seeing.
So not only did Dan's son get to see that his dad successfully escort Wade on the train, he also got to see that his dad was able to convince Wade that he needed to go!
This doesn't mean that Wade was actually convinced that he needed to go to prison (hence the whistling for the horse), only that Wade wanted it to appear that way to the boy.
When the train circled the mountain that horse he whistled for was running up and I was led to believe that a minute after the credits rolled he was a free man because of that horse.