Player1 FE buttons bound to A, B, X, Y, RB, LB, Left Stick, Right Stick, Back and Start will illuminate.
The Left Trigger, Right Trigger, Guide button, joysticks (or d-pad) and trackball (mouse) will not illuminate. Nothing from P2 and higher will illuminate from FE controls.
I was able to get the other joysticks / buttons / trackballs illuminated like normal in MAME, Emulators and PC games by modifying the xmls.