elec window switch lights are always on with the ignition, but the heater slider gets power from the switch same as the other switches and the clocks. The headlight switch bulb also should come on with the ignition, but almost always blown in a MK2 because of this. I'd say you have a snapped wire somewhere behind the dash, or all the switches and dash bulbs have blown, which is possible. Get yourself a multimeter/test lamp, pop the switches out and check for 12v between the grey/blue & brown wires.