Message Notification is a feature under Personal Options (4) which controls the message indication light on your telephone.  The light is turned on after a message enters your voice mail box and is extinguished after you retrieve a message.  This feature must always be left on.  If your message light is not on but you have messages, first check that Message Notification is ON.

Why is there sometimes a delay in the time it takes for my message light to turn on or off?
Because a system distribution list has been activated.  A system distribution list is comprised of the several voice mail box extensions (e.g., all student organizations). A message is recorded and is then sent to each mail box in this list and the corresponding message light is turned-on.  At the same time, the voice mail server is recording other messages and turning-on (and off) message lights for non-system distribution messages.  This is why there is a delay in the time it takes to turn on or off the message light.