Al is right, the lights are independently controlled on each locomotive in the consist. When changing the leader on a consist, you'll need to turn the headlight on from the new leader as you would on a real train. When a locomotive or consist switches directions in the real world the rear light doesn't come on automatically....the crew needs to do that. I believe the whole "automatic directional lighting" thing was an invention of DCC. Railpro has an option for that (for individual locomotives) but I have mine turned "off" on all my locomotives.
-Kevin