Yes, they are supposed to light up, for sure. It's a crappy little bulb that is very unreliable. If you're so minded, I have a how-to on my cardomain site on converting them to LED's (in the color of your choice, lol -- mine are blue now).
Here's a link: http://www.cardomain.com/ride/296394/23
They may have copied that how-to onto the board here as well. I gave them permission, but I don't know if they got to it.
Here's a picture of how my dash looks these days, more or less. The 6CD radio is blue now also, but not in the picture.