I've got a '98 S40 (before they came to the USA). It has the same switch layout and the dimmer (and I also have a headlights height adjuster) is all illuminated. Not sure about the fog light switches, but think they only have a light on the instrument cluster. From memory the light switch illumination has 2 light bulbs, one for the headlights switch and one for the dimmer and height adjuster. I think you have one of the illumination bulbs blown or with a bad connection. Perhaps the dealer misunderstoon and only checked the switches operate the lights. Suggest you go back and ask them to check the switch illumination bulbs, make it clear you are not talking about the headlight or fog lights but the switch illumination lights.