The function selection lights (FM, AM, PHONO, AUX) are run through one section of the mode select switch. On a rotary switch this is typically one side of one wafer. I'm not sure about the 5500, but most Sansui receivers turn off the dial scale and tuning meter lamps when not in AM or FM mode, so the power for those lamps also goes through the mode select switch.
The VU meter lamps may be switched off for the rear channels when a two channel mode is selected. Again, I've no specific working knowledge of the 5500 as I don't own one and haven't had one across my bench, so this may or may not apply. In any case, all the lamps except the FM STEREO indicator (which is controlled and powered by the FM tuner) have a common single supply voltage that is almost always unrectified and unregulated AC at about 7 volts and comes right off the transformer as it's own secondary. For UL and CSA listed models at least, a seperate fuse was required to be fitted for the lamp supply. For other markets worldwide, that wasn't always required by local regulation but was still frequently present from my observations.
So, I'm still inclined to say you have a bad fuse. Are all the lamps out (dial scale, meters, function indicators) or just a subset of those? If the former then the common lamp supply is the issue in some manner and the most likely single point of failure is the fuse. If the latter, it's more likely to be a bad selector switch or wiring between boards or other intermediate points in the circuit. Given the circumstances under whuch the lamps failed however, a blown fuse is the logical culprit.