My Canon EOS350D has that light, but there is sufficient light on even the darkest of stations for it not to be needed, so it doesn't come on.
That is because the light on the front of a Canon DSLR body is not used as an AF assist lamp!
Instead it serves two purposes: to indicate the count down when using self timer mode and the (if enabled) for red-eye reduction when using a flash. The idea of the latter is is that the subject will focus on the light, causing their pupils to constrict and so reducing the risk of red-eye reflections.
If you use the pop-up flash then that is also used to assist auto-focus, or if you mount an external flash gun that its assist lamp will be used. Otherwise though, you are on your own.