Lighting control is independent from the MU itself. You can select any loco in an MU and control the lights for that loco at will. The only automatic lighting is if a loco has auto reversing headlights enabled, which I imagine most would have turned off so you would need to turn the lights off in the loco you were driving, walk to the other end of the MU, climb aboard (select the loco in the HC) and turn the lights on for the trip back.
The think the word lead is a bit of a misnomer in this case. Perhaps Ring should have used the words first, second, third etc for setting up an MU as once the MU is set up as far as I know you can drive the MU by selecting any of the loco's in the MU. No need to break it up.
All this is from memory of watching Kevin's videos. Kevin can you chime in and confirm the above?
- Tim