They are bulbs on the older models like mentioned. Ive just replaced exactly the same ones as Jay mentions as my clock and rev needle were not lit. Scotts instructions are right above, there are three plugs into the back of the unit, two on the left and one tight one on the right, do the left ones first.
Some of the bulbs are a pain in the *** to get in and out, use a socket is recommended a screw driver can chew the plastic heads. Orangle bulbs are 1.1w and black are 1.2.
Oh and watch the top of your steering wheel trip when putting the dash in and out as i scratched mine up! grrr
As for a light for when the headlights are on.... you should have a light for side lights on and main beam on. probably just bulbs gone like you say, i had 3 gone on mine, note they looked ok when pulled out, the filament was there but when putting voltage through with a battery they didnt light, so make sure you check yours.