What is the item number of your set Rick? Is it new? If new, it's under warranty for 2 years. At least one of the ICE starter sets did not have direction reversing lights. If it's an older set before mfx, with reversing lights, an electronic switch changes over the lights.
Does it have a front and rear pickup shoe? If it's newer with MFX decoder, then the reversing is done by the decoder. If you have set 29792, the cab control car headlights are always on. No reverse function lights, no rear marker lights.

Marklin sometimes confuses model descriptions in translation to English. The light function icon shown on the website for 29792 has the lights on with an arrow in theleft hand box, and off in the right box. The written desccription says the lights remain on. Previously with budget digital start sets, the icon showed the lights on in both boxes with direction arrows.
It's probaly wrking correctly. This is why I got the 29000 MS 2 set wih only track and the controller. Premium sets with trains ususally have full function decoders with light and sound.
Individual trains and locomotives as well, excpet the entry level 36xxx series.