I always have the lights attached to my video rig. Except where they are not allowed, as when we snorkel with the manatees.
I do not use them all the time; I try to use them only when I think it will help the video such as in turbid water, night diving and in overhead environments where the light levels are low.
Macro is usually better with lights on, but not always. Positioning the lights is very important too.
I guess what I'm trying to say is there is no set answer - yes/no to your question (sorry!) but depends on this operator's sense of whether they will add color or contrast to the video. A school of sennet or barracuda will pop when properly lighted, where they may appear dull in natural light.
At night I use red filters and low power levels most of the time so as to minimize annoying the critters. Sometimes full white light is needed, but usually at lower power than daytime. BTW, tarpon love hunting near me when they see my lights. I try not to illuminate their prey too often.
Well, I hope you get the idea,