Short version: they DO light up (all of them)...or, at least, they should!
Long version: When I got my '93. 325i, only driver's window switch was lit-up. Other 5 (3 on center console + 2 in rear doors) didn't, so I started "the project". The first thing I've learnt is that only driver's window switch had LED (switch with auto roll function) working at something like 3.5 - 4V (3mm one...)...all other switches ("old school" - no auto roll fuction) had (blown) 12V, also 3mm, but actual BULBS (that needed un-soldering, of course). (Btw, this thing about "only driver's window switch being with auto roll function, and others NOT" is NORMAL for '93. models). So, I got some 12V orange "bulbs", replaced blown ones and....YES! Now, all window switches are lit-up! Obvious reason for this is that those are actually bulbs, and they've got shorter life span against LEDs, so it's kinda usual to see that only driver's window switch "light" is still working. Another normal thing and "obvious reason" for blowing of these "bulbs" is that they are ALWAYS lit-up in these "situations": when interior light is lit-up and when key is in all but "position 0" in ignition (NO, this doesn't depend on headlight switch - they should ALWAYS be lit-up).
This is really easy DIY project (if you know basics of soldering) and it really isn't expensive - those 12V, 3mm "colored" bulbs are really cheap. It doesn't take a lot of time, either. Satisfaction "at the end of a day" is great, also!
One thing bothers me, tho (but I think I can solve this too): in all switches but driver's one are 12V bulbs, but LED operate at 3.5-4V, so driver's one is somewhat dimmed compared to all others (all others are brighter)...soooooo...I thought of putting those very small resistors "in line" with "bulbs", just to bring voltage at bulbs at something like 9V or so, in which case they should be as bright (actually dimmed) as that LED in driver's switch...I think that might work...