Have you updated 930 to 8.1 update 1?

So I can choose to have them either a) never light up or b) light up all the time.

The relevant setting is in the Display settings -> turn on battery saver for display.

Assuming it's a bug with GDR1 as already mentioned; could be a bug with the Display app, given the number of problems people are already reporting!
 
I have a Lumia 930 in New Zealand and my carrier hasnt rolled out Update 1 yet. Is it safe for me to update my stock Windows 8.1 with Lumia Cyan to Dev Preview so that I can add Update 1 before my carrier gets around to it? I am a bit worried that this won't work but is this what all of you have done? I just want to make sure the people replying to this thread actually have 930's and aren't just spouting about what they've done with devices that didn't ship stock with 8.1 and cyan.
 
Yes, it's safe. And to have U1 you need to enroll in the developer's preview program because no carrier released it yet :)
So far I have no problems with U1 and it fixed heating with IE11 for me.