They are made to be turned on all day, but there is no real point to leaving them on all day. I would keep it off when you are not playing it or don't want the ambient light.
New stern games are quite efficient when just sitting in attract mode. I can't remember exactly what the figure was when I checked with a kill-a-watt meter but i was surprised.
Bally/Williams WPC games where consuming the most current t attract mode current when checked. LED lamps make a major help in efficiency. Power supply boards with SMPS regulators help too.