ONly one light is turned on
Yes, that light indicates the controller number it is- so it is working perfectly fine. Of course, you would've noticed the number being the number of dots above (not braile).
The lights indicate which player you are. If you're player one, the light on the far left will be lit. If you're player two, the light second from the left will be lit and so on and so forth. Also, when you start the controller, the lights will light up a rough percentage of your battery life.
you must turn on the three other lights to be able to use it properly.