Fede, this happens because the button’s feedback is configured to light the LEDs with MIDI messages! If you map the buttons to a software that sends back notes, they will light up.
Here you have a few quick suggestions for your V2 controller: Quick Start guide for your V2 controller
If you want them to turn on without the need of incoming MIDI messages, you can set their feedback to “Local” on Kilowhat 
So sorry the loader isn’t working for you.
Can you confirm if when you set your controller in bootloader mode (with the loader or with the MIDI cable), you see the USB-MIDI device named “KilomuxBOOT”?
You can use any application that lists MIDI devices for this, or the Windows Device Manager.
Also, you said you don’t see LEDs when the controller becomes unresponsive, but can you see the status LED (center of the Yaeltex logo) alternate colors?