Are the heating/cooling controls supposed to light up when you turn on the rest of the control lights?

Yes but if you have a climate control system with auto and a digital readout for the temp, no. The back lit light will come on when the parking or headlights are on but the digital readout can be turned off completely

I don't have climate control. So,if mine don't light up is there a fuse that needs to be changed?

There might be, check your owners manual or if you're lucky the fuse box cover has a diagram. Usually if the unit lights go out the unit itself needs to be replaced. The older ones had replaceable bulbs all of the new ones are soldered to the mother board. You could take it out and see if maybe it not plugged in all the way..

i'll try that, thanks!