The Cavalex 56 is no different to any other modern standard loco in that the standard lighting that works on just F0 will not work. Old spec locos had the front light and rear lights wired together, but that meant you could not control them separately. Convention has brakes and horns on F2, F3, F4 these days.
Up-thread the Aux numbers for each light are listed and you need to map these to the keys you want, or use the default mappings as your decoder provides for, working out what F key is mapped by default to which Aux.
Granted, some more info on the clever ESU onboard stuff would be helpful.
Roy