Because of the Albany station location in Rensselaer, there really are only a couple of places within plausible walking distance, though perhaps one could get delivery from someplace across the river. The trip for me usually starts at Albany, so I suppose we could bring dinner aboard with us. But when three of us travel across country, we usually have two big roller bags, two backpacks, a couple of smaller bags, a walker, and my wife rides in a wheelchair. We get assistance from the station staff once we get inside, but I don't think I'd want to introduce a couple bags of dinner into that process -- especially if the dinner containers need to be kept upright. And really, for $700-plus per night, I don't see why I should have to go to that effort -- especially when the same price included a table-service, multi-course dinner until two years ago.
And then, of course, there's the issue of breakfast the next morning.