no, but it means that you cant use the supply for the switched live to your stereo.
sorry if you already know this, but here goes anyway:
IF you have an aftermarket stereo (i.e a cd head unit that wasn't the original fit when the car was new) then it is likely that it is wired up incorrectly. ISO standard head units need two power supplies. one permanent live (keeps your radio stations set, and remembers the clock settings) and one switched live (turns the main power on and off with the ignition). the original stereo got around this by having a proper power switch on the stereo, so that the main power to the unit was turned off, even though the 'switched' live was permanently on. modern ISO head units don't normally have this. think of the head unit as a TV. when you press the power button, it puts the head unit on 'standby' therefore it is still pulling some power from your battery.
so, what you need to do, is find which lead to your stereo is the switched live, and then connect this to a suitable power source that switches on and off with the ignition.
NOTE: don't use the easiest one to get to - the headlight dimmer cable. you will have to have the headlights on all the time you want your stereo on
(don't ask me how i know this......
as for the window switch lighting, not too sure about that one, maybe whoever fitted the stereo has managed to balls something up with the illumination circuit?
hope that explains it ok, all the info you require is within this forum, and if you get really stuck, just ask and someone will point you in the right direction