Exact same problem for me. I've had to reset the touch light settings many, many times since 5.0 upgrade. It seems to be completely random when they suddenly stay unlit, despite the setting clearly being on Always On.The issues with mine are this:
The Touch Key Lights in the lower corners of my phone will just turn off for no reason. I have them set in setting to Stay On all the time and the option is checked, however they still just turn off. They still work they are just not lit up.
And for the record, I'm a Rogers Note 3 owner. My other issues are inconsistent performance: sometimes snappy, sometimes dog slow. And the recent apps screen taking an annoyingly long time to appear when double clicking the home button from the home screen.