You're right. Complaint previously filed. No change as of yet.

https://yamahasynth.com/forum/bit-by-transpose-at-gig
and
https://www.yamahasynth.com/forum/button-dont-light-up-when-transpose

These are not the only forum posts where similar suggestions have been made or referenced.

I agree, an on-screen indication would be most welcomed. A nice, red-blinking "Transposed +1" or whatever at the top of the screen would be great. Not just when you use the front panel Transpose buttons, but also a "Note Shift +1" when that function is invoked through the Utility screen. (That's the better way to change the key of what you're playing if you have split points and aren't controlling external MIDI gear, since it keeps the physical split points intact, so you can actually play everything just as you normally would without worrying about triggering the wrong sound.)

I'd leave the button lights as they are, they already illuminate in different ways depending on how many octaves you shift, and if you start assigning more functions to them, there would be too many patterns to keep track of. What would it do if you transpose, and then also octave-shift?? 😉