The radio in my 960 comes apart fairly easily, seems almost designed to be
taken apart and serviced (there was a tape deck module, tuning circuit
module, power module, buttons control module... meaning you could replace
one section that wasn't working, for cheaper then fixing the whole radio....
in theory, in reality they wanted $700 for a refurbished one, and no one
wanted to repair my old system). Actually I was astounded with the sheer
level of engineering that went into making the radio, and its locking system
that holds it into the dashboard - it was puzzeling that the radio actually
failed when I saw how well it was built.... Not to mention how clean and
neat the radio mounting area was - in a VW there is a mess of wires and tons
of foam (not as bad in the newer cars, but still - no Volvo) and nothing is
very accessible, in the Volvo the wires come out pretty long, it's clean,
and the cabinet has nothing else in it except the radio (and maybe a relay
or two mounted far back). Then again, the whole car is like this, from the
engine bay (surgical precision comes to mind), to the sub floor storage
areas in the trunk, so I shouldn't be so shocked I guess...

This could bode well for you tho, if your radio is anything like mine, a
stereo repair shop should have no trouble getting it open and changing light
bulbs. As far as why they used them... my guess is to achieve a certain
colour they couldn't get with LED lights.... In fact I think the lighting in
my 99.5 Golf is still provided with all light bulbs too... I had to replace
the climate control system's single light bulb, which is located in the
middle dial, and thru a series of plastic pieces gets spread to the two
other dials, before it runs thru a filter to change the colour to red... why
not use a Red LED??? - because it would make more sense... at least those
light bulbs costs so litter that dealers give them away for free...