To expand a little on what David posted: the real difficulty is that the lights have to be changed for the duty the loco is working. And although most of the UK had four lamp irons, on the Southern there were even more positions as their headcodes were for route designation not traffic type. And on the Western often lamps would be neatly parked on the footplating by the smokebox, lit, as the loco worked light engine off shed, to be put into the appropriate headcode when the train was collected. Furthermore the lights have to be dim to be realistic, and preferably flicker a little, but DCC can take care of that.
A thought that has crossed my mind is that a fibre optic routed into each lamp iron postion, and unmasked by replacing the lamp iron with a plug in oil lamp might most simply provide lit lamps. Those will be small and fiddly parts, but this should be more robust and more readily have the potential to be of scale size in 4mm than an LED installed at the lamp position. The only classes on which it might be a little simpler than most, are those that had electric lighting: ex LNE B1 and Peppercorn pacifics, ex SR Bulleid pacifics are classes that come to mind. Here at least there was an electric light permanently installed at each position; but very often the electric supply failed, and conventional lamp irons above the electric light bore oil lamps!
A thought that has crossed my mind is that a fibre optic routed into each lamp iron postion, and unmasked by replacing the lamp iron with a plug in oil lamp might most simply provide lit lamps. Those will be small and fiddly parts, but this should be more robust and more readily have the potential to be of scale size in 4mm than an LED installed at the lamp position. The only classes on which it might be a little simpler than most, are those that had electric lighting: ex LNE B1 and Peppercorn pacifics, ex SR Bulleid pacifics are classes that come to mind. Here at least there was an electric light permanently installed at each position; but very often the electric supply failed, and conventional lamp irons above the electric light bore oil lamps!