Yes and no...........
As far as I know, using FSDS v3 or higher, you cannot add effects directly to a model object used as scenery. You can't add them to the object inside of FSDS. If you are making an aircraft model, flyable or AI, you can add effects to the aircraft model, but not for objects compiled as scenery.
However you can add an effect anywhere you want by placing it using XML code. So the lighting effect in your example, would not be part of the scenery structure itself, it would simply be a separate bgl file that you would have to include with your other scenery files.
It's sort of a pain to have to do it this way but our friend Arno has made and excellent program for you to use to accomplish this.
ObPlacer XML-------"ObPlacer (or Object Placer for full) and ObPlacer XML are tools that allow you to place scenery object while slewing around in Flight Simulator. ObPlacer lets you place API macros, while ObPlacer XML lets you place library objects,
effect files and MDL objects using the new XML format."
You can find it in here:
http://www.fsdeveloper.com/forum/fsdevdownloads.php
It seems a bit daunting at first but after you get the hang of adding effects, you will be able to place them where ever you want.
This is one of FSDS's drawbacks unfortunately.