UPDATE- After 10 days of silence I have to report success. The problem was something very unexpected that drove me crazy until a friend who knows more about electrics than I do explained what my problem was. I must also mention that I short changed the readers by not mentioning that I was trying also to upgrade to LED lights (I will document the upgrade in a different post) and come back to include the link here.

Ok, here we go:
Fuses were all gook and I did not have to replace any.
From looking at the electrical diagram, I could see that the Warning Lights are in a different circuit than the illumination for the cluster and that is why they were working fine.
I checked the voltage coming from the lights ON-OFF switch to the Pin #5 of the round knob that connects to the cluster and I was reading 12.5V.
I checked the voltage that went from Pin#5 thru the Rheostat (lights dimmer) and out thru Pin#8 of the cluster a couple of times and it read once 11.9v and the second time 12.0v. This voltage feeds the large light bulbs under the light tunnels part of the speedometer cluster by connecting to the Pin#8 on the speedometer side.
So far, my thought was: I have voltage coming from the battery and continuity thru the rheostat, so everything should be good. Nope, the lights lights were not turning ON. Since they are LEDs I turn them around to make sure that the + matched the capacitor in the led, otherwise it would work. Well, here it did not work at all.
I read a post that recommends to install a am additional ground strap to not depend on the Pin#3 alone for ground.
This did not help.
For the heck of it I connected the speedometer Pin#8 (that feeds the lights) DIRECTLY to the 12 v coming from the battery and voila! the lights turned on. Here is where I began scratching my head because I had previously check voltage thru the rheostat and I was basically reading 12 v, so in theory it should be enough to make the lights work.
I could not figure our what it was and here is when my friend explained why. Incandescent lights (original lights) illuminate more of less based of the amount of voltage they receive and that is why the rheostat cam be used. But LEDs do not work like that. They require a certain amount of voltage for them to work and in this case, a very minor drop in voltage thru the rheostat (remember that I measured 11.9v and 12v out of it) was not providing the voltage needed for the large LEDs to turn ON.
Solution: I am bypassing the rheostat (did not want it anyway) and connecting the lights directly to the 12.5 v coming from the Lights ON-OFF switch and getting very bright lights. BTW, I left in place the incandescent bulbs but I inserted a strip of LEDs ($0.99 cents in ebay, including shipping) inside the instruments cluster and I cannot ask for more light.
That's all folks. Thanks for your initial input.

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87 300SDL
92 300D 2.5 TD