Welcome.
If it's new I would return it. Otherwise it's probably not something you can fix easily.
I have Mk1 KL88 and one of the drum pad lights hasn't worked for the past year. I'm 90% sure it's just a dry joint on the board but I CBA with the effort it would take to pull it all apart to reflow the joint when the fault doesn't affect the actual function. I always saw the lights on these things as a bit gaudy and pointless anyway, like the light-up drum pads on the £20 tabletop drumset I once bought for my six year old son. But you expect that kind of pointless vulgarity on something aimed at the single-figure-age demographic.