It seems strange that on all three the lights don't work. Did you buy them all from the same seller?
First, it may be useful to download the instructions (if you don't have them already) from the Playmobil website
If you take out the grey unit with the motor in, there should be two pins sticking up in a small rectangular piece in the middle of the unit. These connect with the wiring in the body which powers the lights. If these pins aren't there, there is a piece missing off the motor block.