The Engine has Ethereal movement (Spectral Steeds), though since it's a Chariot (cannot March) this basically equates to Ignores Terrain. The Banshee screams are magical attacks, so they can hurt Ethereals. The Banshee Swarm and Spirit Hordes don't have magical attacks, though they probably should. Also, nowhere does it call the Reliquary's area of effect pulse or the bomb when it dies magical attacks. So just the scream.
The rules are in a few places in the book, which is kinda a pain in the ass, but the model itself isn't Ethereal, it just moves like one.