Tom,
Didn't see it mentioned...........
 I'm assuming you have your switches wired to individual inputs to Mach. Otherwise, if they are wired in series to one pin, Mach wont know which one is tripping, just that the circuit was broken.
RC

Thanks for the reply's, Yes I do have the switches to individual pins.  It's not really that important for the led's to stay on, it really only takes a little bit to figure out which switch is causing the problem.  I was just hoping that there was a setting that would keep the led lit. I will jst have to keep doing it that same as I have been. Again thanks for your reply's.

Tom