When converting a pool to salt water, should the pool lights be replaced?
The key to any pool regardless of sanitization or oxidation method used is to keep the water balanced.  This means keeping pH, total alkalinity, hardness and total dissolved solids in-check.  If the water is not balanced then you will overtime do damage to your pool and equipment regardless.  Well balanced water should not be corrosive.  There are lots of other metal parts in your pool other than your lights - ladders, heat exchanger (in a gas heater), etc.

Your lights should already be sealed, if they were not, you would be losing water through your lights.