Hi
I actually have the same issue. I just got the Lenovo Legion 5, and the FnLock lights do not turn on when I press Fn + Esc, but when I go to Lenovo Vantage and turn on the keyboard top row function, the lights do turn on and off.
Before this, I had an issue with the backlight not turning on when I press Fn + Space Bar and this issue was fixed by updating the system with a BIOS Update in Lenovo Vantage. Hopefully, a new update will come in the near future so that the lights can come back on.
Thanks.