@MSFSRonS is correct - you can change the LED functions on VKB controllers such that when you press a button the related LED will change colour, i.e from green to red, and will stay red until you press it again and have it revert to green.
Like RonS, I have also not been sufficiently bothered to explore and use this function personally, but I know that it can be done.
I would suggest searching the “Manuals and How-to’s” section of the VKB forum first:
If you can’t find an answer there or in the Technical Support page, then start your own thread to ask the question and a staffer or user should be able to help you.