I am wondering the same thing, also I want to know if there is a way to change the color for different notifications. My Droid 2 was able to do that and it would blink until I looked at the message...
I came from a Moto Droid and it too, stayed on until checked. Not a deal breaker for sure but I shouldn't have to turn the screen on to find out if i have a message. Should that not be the purpose of the LED light?
I came from a Droid1 and one thing I seriously miss is that the Notification light was useful while charging. The Bolt shows an amber light while charging and then green when fully charged. On the Droid it wasn't lit during charging so if you got a message it would flash and you could tell. No way of knowing really while the Bolt is charging unless u turn the screen on.