LEDs don’t burn out if installed correctly. Incandescent lamps will burn out from age, or because no resistor was used in series with the lamp. Lifetime depends.
You may be thinking about prototype rules. When a train is stopped for a meet or tied down for some time, some railroads require that the headlights be dimmed or switched off. If the loco is parked, serviced or stored, lights are off.
Once I park them, I turn the lights off. I usually turn each light off for the night once I’m done running a particular engine. I like to keep the light on for each “active” engine, in part because it tells me at a glance which way the train’s going to go when I throttle up.
During the glorious days of steam headlights or backup lights were rarely switched on during the daylight hours, therefore I rarely operate Grizzly Northern steam with the lights on. A number of the GNR locos do not have the lights connected.[:)]