I too just learned this after purchase. Aside from the wireless function, this was 2nd on my list of reasons to buy this keyboard.
The marketing video linked I watched before buying(linked above) was misleading to say the least. Not only that, I was so sure this keyboard had per-light control that I spent a long while playing around with the iCUE software, thinking that I may have missed something. I even searched the net for a while, which ultimately led me to this forum, which is where I finally learned that per-key lighting isn't possible.
I guess I'll just chalk this up as a learning experience, one which I will not make again.