They
are working as they should when configured for Scene Toggle. From the FC Controllers Manual, page 28:
View attachment 96401
For the LED to be lit on a particular switch, whether dim or bright, one of the options for that switch must be either in the preset or in use in the preset.
If you have a switch assigned to bypass/activate Delay 2 and there is no Delay 2 block in the preset, that switch LED will be off.
If you have FS1 assigned to toggle scenes 1 and 2 but have Scene 3 selected, the LED for FS1 will be off because scene 3 is not an option in the configuration of FS1.