I can't comment on the cause of this, this definitely sounds like a bug if the "on" setting for the wheel light is being ignored.
You should certainly consider reporting this in the bug tracker located on the left of this very page, under the Development header.
I did want to ask though, irrespective of the fact that your desired set-up is currently being ignored, are you aware of how seriously this affects the total battery life of the device? The wheel light and the LCD are the two biggest contenders for power use on this device. Having the wheel light on full time is going to make a very noticeable difference in runtime (when functioning how you would like it to).
But, that's not to say it shouldn't be fixed. If the setting is offered, and ignored, its a bug.
[Saint]