If it is a heat pump stat, typically you should be able to scroll through the "mode" settings, cool, heat, aux. heat, off.
There are many different stat models out there now, but many do not have indicator lights now, just the notation on the display that the aux. heat is on.
Did you check temperature differential to see if the aux heat came on?

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Jim Luttrall
Mr. Inspector.net, Inc.
Allen, Texas 75002