there should be a option for this under display in control panel...

but i have recently noticed that some of the led settings are not properly sett in diablo on my N800 (specifically the two that deal with the device charging and finished charging, they should be toggled by the "other notifications" in the led tab of the display settings dialog), so it could be that there is some issue with the "display stays lit" option as well...

still, works for me.