Its probably just a holdover from days gone by, and a reminder to people to not light up on the plane. Its a confined space, so yeah you can yell at a dude for lighting up and make him stop, its not like you can open a window to vent it out.
Seriously, I've been places where it should be extremely obvious that theres no smoking allowed, yet people will light up and say "Well, I dont see a sign".
And with as much energy in an airplane thats heated, lighted, all the mechanics being operated, etc...they probably arent too concerned with the power draw of one extra lightbulb.