From SELECT, double tap on the Light to set its intensity to full. If the Light is already at full, double tap will take it out. You can select a range of lights then double tap to set all their levels. This also works if you double tap the Light mimic between the attribute bubbles in Control Wheels for each of Intensity, Color, Position and Shape.
This is handy because you can, for example, stay in CONTROL COLOR and by using NEXT and PREV you can bounce through your lights, turning them on and setting colors one at a time without having to go back to CONTROL INTENSITY.