No, broadcast messages are intended to be a general message that can be listened to at any time. It also has the benefit of not having the system swamped with virtually all the users dialing in at once.
If you still wish to have the message lights turn on, use a distribution list. There should be a default list that will have all the users on that system. I would recommend sending the message after hours. That way as the users come in, they will dial into the system at different times and not all at once if sent during the middle of the day. Finally, make sure not all your ports are MWI enabled (default setting). If they are, you could have your Unity not be reachable once the message is sent. That's because the Unity will use all the ports to turn on all the lights in the system.