I don't worry about the lights so much, they're cheap enough to replace. My new one has LED lights, so they're even easier - they just don't wear out.......
The main reason I don't turn my computerized machine off in between tasks is that I don't want to have to remember the stitch/length/width/number to reprogram it when I turn it on again.
When I do turn it off for the night, I write the settings on a post it note and stick it on the needle plate so I remember to reset the settings before I start sewing.