It's common sense really. If it uses power, you have to pay for that power.
Lets say for example, the Wii takes $50 in power per month.
And a light costs $0.05 per month.
If you run the console and the light is always off, you pay $50 per month. If you run the console with the light always on, you pay $50.05 per month.
It's not really anything noticeable, but then, my comment was meant to be a joke. That's why I said it'd save you "multiple cents per month".