It should illuminate with dashboard background illumination at same time as radio etc.
I believe there are four bulbs in the heater control panel, they should be fairly standard T5 286 filament bulbs in popular ratings of 1.2w and 2w.
There is usually a small plastic insert/holder which can lose contact with the bulb or fitting sometimes, this does vary - there are some examples on
this eBay page but you probably only need the bulbs in this case.
For GD cars with climate control, the panel uses T4.2 Neo wedge bulbs in fixed bases.
Getting to the bulb will be more hassle than changing it: remove audio unit, remove heater control panel, the daisy chained loom in the top of the picture are the bulbs.
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TG