Q:

What's the effect of breaking lights?

In some maps, you can break light bulbs or wall lights (I'm thinking about the Framing Frame heist, day 3, on the rooftop).  

Does it have any effect ?  Obviously, ambient light around the broken source of light seriously dimmed: does it help to remain stealthy ?  Could it be used to lure a guard (I don't have any practical example in mind, but still) ?

A:

There is no effect.

Part 1: Does light affect the visibility of the player?
To test this, I soloed my way to Framing Frame Day 3.  With my silenced pistol in hand, I waited for a guard to come by.  When he spotted me, I killed him.  Then I shot out all the lights on the roof.  When the next guard came by, I stood in the same place and waited.  He was standing in the same place as the previous guard when he died.
Result of stealth test: Light has no effect on player visibility.

Part 2: Does light (or the absence of it) cause guards to become curious?
After my previous test, no guard seemed to want to come up to the roof.  I reloaded the mission and again soloed to the third day.  When a guard arrived on the roof, I used my water arrows silenced pistol to shoot out the lights near him.
Result of attention test: Broken lights have no effect on guard attention.

Part 3: Extra Credit:
Then, since I was there, I started to wonder if there was anything I could shoot that would bother him...
List of things that guards do not notice .45 caliber bullets going into:

Lights
Tables
Roofs
Plants
The floor right in front of them
The space between their knees

List of things that guards do notice .45 caliber bullets going into:

Cameras
Windows
Themselves

