I just found that there's indeed something wrong in certain levels with dynamic lights placed in WED. This will be fixed. Until then, please place your lights through script.
You can place a dynamic light with this code, f.i. in the main function after loading the level:
ENTITY* light = ent_create(NULL,vector(x,y,z),NULL);
light.red = r;
light.green = g;
light.blue = b;
light.lightrange = radius;
where x,y,z,r,g,b,radius are the position, color, and range of the light.