From the 2 page manual for my original 356 Freight Station:
"The lamp illuminating the inside of the station should remain on regardless of the position of the controller switch."
Now the manual for the 2029180 station is 12 pages long and it does not seem to have the same wording!
I would guess that the answer to your question is yes, by default the station lights remain on when the freight carts are not operating, if wired correctly.