So this just happened to me. I followed the instructions from Dell.com on the subject to uninstall, delete certain files in multiple places, and then to reinstall. Upon returning from restart my mouse was acting extra odd, laggy and the buttons unregistered. I got my Alienware Command Center opened by navigating with my keyboard. Once in I Factory Reset my mouse and lights are back on! Note that my mouse now has a weird lag that it never had before but lights are back! I've owned this mouse for 2 whole days.

At time of Lights out; Mouse was under 50% battery in Wireless Mode and with a different FX theme set. All White - Solid.

After restarting PC I reconnected mouse with the cable. After it not working (clicking and laggy) I went wireless mode. Hit the Factory Reset and BAM! Lights! I hope any of this helps you! it's not fun to not have those lights when you buy it. Kinda for the lights. lol xD