Not all pistons or switches in a Hauptwerk sample set are able to send the messages to make our pistons light. So, not all native combination action pistons in a sample set will allow configuration to send lamp messages. However, Hauptwerk's own internal combination action will allow you to send lamp messages.
For instance, the divisional pistons of the St. Anne's Moseley organ do not support lamp messages. However, Hauptwerk's Master General pistons
do support lamp messages.
In general switches that keep track of the state of the switch allow you to use lighted pistons.
The easy way to know is to load up the sample set you plan to use and find the switch you want to light. If you activate that piston on screen and the switch changes position or turns a light on that stays on, you can likely use a lighted piston with that switch.
If you press the switch on screen and it only flickers or lights momentarily, then that is the behaviour it will manifest with the piston as well.
So, in summary, while the sample set's native combination action may not support lighted pistons, Hauptwerk's own, internal combination action will support lighted pistons.