The answer is, it depends. If you have the 2.0 lighting system they do not go out during lights out multiball but with the original system it goes out during ALL the Crystal Ball modes and in some other modes. This is only if you have the GI integration module and have it wired into one of the "GI" (there is no true GI in WOZ per se) LEDs. I usually have mine setup with the GI integration on but if I want to play really serious games or if I were to stream (I don't but my friend chuckwurt has done his gig here once or twice) I'd leave them on all the time which is pretty easy to do. Lights out MB doesn't actually kill the GI in WOZ, it just dims it and makes it blue, the real challenge of it is that none of the inserts light to tell you what to shoot or what you have hit.

It's not Lights-out mode but here's a short video of them in action on my non-2.0 RR in ECMB (sorry for the crappy game play but it's pretty typical for me).

WOZ absolutely benefits tremendously from PinStadiums (and I receive the opposite of financial support for having them, they cost me money).