There is no dedicated fuse for the controller illumination. Assuming other components light up, then the problem is likely a bad bulb in the controller.
On the older-style controller, the bulb is easily accessible, and I would assume this is true of the newer-style like you have as well. All you have to do is remove the controller. You do this by inserting a pair of DIN radio removal tools into the openings on the face of the unit and pulling out. These tools are all over eBay for about $10 if you need them.
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