I've walked around on the roof of the Pirates show buildings several times over the years, at night and during daylight, and I can't think of any lighting fixtures that are up there that need hiding. (The real fun is up in the attic of those buildings though; the roofs are pretty boring, but lead you to the attic entries.)
Not to mention why you would put lighting fixtures on the roof of the building far away from the edge, to begin with. What would you be "lighting" exactly with fixtures in the middle of that huge warehouse roof?
The sails are there just because they look cool when glimpsed from the alleys of New Orleans Square. New Orleans is a port city, after all.