I have the Hassium Pro, the non-tkl version of the Francium. Really love it so far.
Your problem with the lighting mode sounds like a problem I initially had upon receiving mine. It would crash whenever I booted up the computer with it plugged in and, like yours, wouldn't retain the mode I set through power cycles. Turns out it was the firmware. Using the utility and firmware from
http://www.deckkeyboards.com/node/52 I updated it and everything started working flawlessly.
I don't know that you can get the PN key to stay lit as its used to program the keyboard and only lights up then I believe.
I'm pretty sure that you can set which keys are lit through the use of the LED scripting that the keyboard supports. Its a bit beyond me, so the most I've done there is install some scripts someone else wrote that are available in mechkb.com's forum.
I agree with you about the awesomeness of the PBT caps, but rather like the font of the legends quite a bit. Good luck on your search for ones you like. Be aware the I think one or two keys, such as the Windows key are a non-standard size.