Wow I had no idea, I'd be disappointed too, especially for what they cost (the original offering had two fully powered and lighted cars!, some with EAV in the olden days-alas I digress).
While I do not own your set-the last LGB made Wismar triebwagon set , I am pretty well versed with the anteaters. (identical but for its hood and bumper/luggage rack).
Here's what I recall. There is a plastic "v" shaped light conduit, which carries the light to the 2 lower lamp openings. The top roof lamp is lighted from behind using a light carrying bar from a bulb in the the roof light assembly in the passenger compartment and only lights white, running forward. The lower lights are lighted via the conduit.
This transparent conduits are the crux of the vehicle lighting. It is unique as far as I know among LGB models. There is no behind-the-lens-bulb. The bulbs sit in the chassis and shine upward or outward, as the case may be, via the conduits, in essence giving the lens illumination, but not really a 'beam'.
There are two 5 v red and white bulbs on each end of the vehicle, below the light conduit on each side of the inverted "v" , each pair of bulbs (white or red) being directionally lighted (ive not seen anything other than 5v, but on early ones, its possible they might have used 18 v, but I don't know). These shine into the conduit and transmit the light.
To answer your question, on the assumption you do not have the lighting board and are not simply missing the bulbs,
and may or may not have the conduits, I would find some warm white 5mm LEDS, with resistor and diodes that will take up to 20 volts or so-more if you run DCC, and simply hook them directly to the track pick up in the chassis-I don't run dcc so I don't know if this would work (flicker etc) , I run analogue , and when ive re-lighted, things are fine.
Or, less desirable in one way (fit into the existing light holes) you could find the 3mm red/white LEDs which are available for the obvious benefit of color changes-these LEDs are white on one polarity and red on the other-cooool!-but youl then need to find or fit a lens and position the LED to stay in position.
The real problem is the roof mounted light -you will need to run wires along the inside of the windshield pier (or someplace else) down into the chassis for power, or, most simple, wired off the roof light, using a diode for directional changes.
I suggest the 5mm LED as they will, I THINK< fit the existing lamp holes -LEDs can be cut flat to flush mount, but this will change the focus-it will be a wider spill if so trimmed (you can use rail nippers-works great)-if you leave them domed -you will get great pencil beams-if you don't cut and sand them down, you will have a very soft dispersed spill on the 'beam' or what's left of it, FYI.
To my knowledge the red/white color feature is not available in 5mm, only 3 mm-but you might check.
I have no other suggestion, (other than using the original board and inserting lamps, if this is indeed an option.
Otherwise, you 'could'......use my method and have double lamps at the low ends (ie add a hole and a bezel) and have the top roof light only lighted white in forward direction-less elegant and would irreversibly modify the model, (something which I try hard to avoid when 'improving' stuff). Or single roof lights, using the power from the overhead light , making them directional.
Another option might be to mount incandescent bulbs directly into the openings, and wire-but id be afraid you may likely melt the plastic if lighted brightly for too long-this is why I suggested LEDs-or you will need to think about some sort of insulating collar. Incandescents will get very hot. I have learned this the hard way. Trust me on this one.
You will need very long wire leads if you wire to the chassis or motor directly, if im not mistaken, to accommodate removing and replacing the shell ,etc
It sounds more complicated than it really is. The thing to do is source the LEDs and resistors and diodes and assemble them, then install,
I have done this on rail trucks and the 2090 and Schoemas and its worth the hour or two itll take you. LED light is quite powerful and nicely focused.
good luck, buy spares.
You ask where are the parts, I use Evan Designs lighting , a Denver based , US outfit, superb product and service (search the web site and look for ideas) -they have all this stuff ready to go.
im sorry if this isn't a help to you across the pond-with all the customs nonsense.
Perhaps someone else can give you a local source or EU source.