Just had this reply from my e-mail
"Sorry to say, it seems we have made a tiny mistake with those switches. We intended to order 12v illuminated, but it seems we have ordered mains powered switches. The 12v of the PSU is not enough to light the bulb, but the switching action obviously works fine.
We are looking into sourcing a replacement that is 12v light able, and will let you know with what we find. Once we source one we can sort out the replacing of the unit."