I haven't found a global setting for that, but they should certainly add it to the firmware. Perhaps we need to start a letter writing campaign... This is actually my single complaint about the scanner.
As mentioned, you have to set the "Backlight Mode" to "On." This can be done slowly through the radio menu or quickly through the EZScan program. The key here is to shift select all of your conventional and then trunked channels so you only have to do it once. Click under the "Bklt/LED" column, make your change, and hit set. If you have a large number of entries, it will take some time for the software to complete the changes. Give it a minute or two, or even longer, before you assume it is frozen. Note: if you have your LED light programmed to flash pretty colors for different entries, this will mess that up. If so, sort by the Bklt/LED column and shift select only those that have the same LED settings.
The link shared above is great. Note: It might not match exactly to the newest version of the scanner firmware and the EZScan software.