They show up as you reach the upper echelons of whatever gear you're in - the VTEC howl will be a giveaway!
However they only light up if you have them enabled... sooo... either you aren't driving hard enough to make them light OR you haven't got them turned on.
Do a quick search for turning on the rev lights and you'll find instructions on the site - that's how I did it. It is also in the manual. You have to go through the menu on the dashboard but I can't remember the exact process.
Actually I may be confusing the process for this with the VTEC light - it's worth looking into.
Take the car for a drive and warm the engine up... then floor it until you reach 8,500 RPM. These rev lights should be lit up now!!