The fuse for the lights or power supply will be "inside" the unit. The fuse you see on the rear panel is the power supply fuse for the whole unit. McIntosh uses a seperate power supply for the panel lights and places it inside.
If the unit is working fine other than lights and you feel comfortable tearing into the unit, order a service manual and it will show you the exact location of the fuse, power supply and exploded view to access the bulbs. Otherwise I would take it in to the nearest dealer that is Mcintosh Certified for service.
