Yes, you can see in the video of Thierry Coup on board the train from the live webcast that the glass in the cabin doors is indeed frosted. I guess I always assumed that the Dementors in the hall would be a shadow/projection effect. It seems like it could be a simple yet very effective trick. And going the other direction, they could use the same trick and flashes of color to signify fireworks being shot into the train by the Weasley twins, or something similar.
Didn't HTF say in one of the podcasts that there would be effects on both sides of the cabin? If that's the case then I think shadows/projections on the frosted glass is the most likely scenario.