As an owner of a Seeburg "A" nickelodeon, I have installed inside
my piano colorful orange and yellow lights.
I can see no direct benefit from keeping the lights on "all the
time". I have the lights turned off until I turn on the switch to
play a tune. Even with very low-watt bulbs (15 watts), I would not
want to chance having heat built up inside the piano.
I recall seeing two nickelodeons placed in a former museum that we
had in Vancouver, B.C. The pianos were placed strategically so that
people walking from the outside could see the colorful lights and it
was a form of advertising for the owner of the museum.
But for ordinary household use, I can see no benefit to having the
piano lights turned on when the piano is not playing. Not being an
electrician, I can't comment on how the lights are wired. Perhaps
someone more knowledgeable can comment.
Burnaby, British Columbia