Hello!
As scoobflight said, there are no lights in the Guidance Panel (or, as Boeing calls it, the MCP).
Just as a curiosity:
I have been told that (the legend says) that initially those "slots" above the buttons were lights indeed, but during the certification process the regulator decided it was better to remove it (just by canceling its function, thus avoiding to redesign the panel) to force pilots to look at the FMA (Flight Mode Annunciator) in the PFD. I don't know if this is true, though.
But, if that is true, my personal theory of why they did that is the following: I think they decided to do this because each button corresponds to different autopilot modes. For example, by pressing NAV you can get LNAV, LOC o BC modes (no VOR mode to follow a radial in this aircraft!). By using APP you can activate LOC/GS or LOC/GP. Or by pressing VNAV, you might be changing between FLCH or VFLCH ("green" vs "magenta" modes). Therefore, the information given by a single light over the button could be misleading: you could think you activated one mode but something else might have been activated. On the contrary, in the 737 this is not a possibility because (if I'm not wrong, I'm not really familiar with the 737) in that aircraft each button (with its light) can only activate a single autopilot mode. But...., I don't know..., that's just me thinking about it while bored during a long cruise...
In the E2 models they removed those "lights" completely (no useless slots anymore).
Best regards,
Marcos.