Make sure any RoomMarkers you may be using extend far enough past the doors so the FXLights are getting rendered, that's the only thing I can think of.
In my vault I didn't even place roommarkers yet, and in the other "vanilla" cells they are as they were, I didn't change anything.
I'll just have to start a new char and see if this is a bug related to my save game.
edit: it looks like this (it's day outside)
http://i35.tinypic.com/voonsw.jpg
also, I have just watched a gameplay video of vault 108 on youtube, and the exit\entrance looked like this to that player as well (it was also day, it's here http://www.youtube.com/watch?v=_ot8FIrjmU4 on the 7:45 mark). Maybe it's a bug I just failed to notice before? Can someone perhaps confirm it? And if it is a bug, how to prevent\fix it?