Yes, this small feature makes a huge difference to the speed at which you can work.

Also, because you can customise the colours in Cubase for EQ/Inserts/Sends etc. I have them set up to match the S3. My Cubase EQ curves are purple. The EQ button on the S3 is also purple and when the S3 is in EQ mode, all the knobs are lit in purple. This means that my brain is programmed that purple means EQ. I don't have to scan around the S3 looking for the button that says EQ. I just look for the purple light.

I can also tell instantly what is currently being controlled by the S3 just by glancing at the colours. Purple = EQ. Yellow = sends. Blue = Inserts etc. The same either on the controller or on the screen.

Also, whatever mode you select on the S3, you will see the relevant tab open in the mixer and inspector. Hit EQ mode and your curves are displayed on screen. Hit Sends mode and your sends are displayed etc.

It's these kind of details that make a controller really useable. Nice hardware is obviously good but if the software implementation is poor then it's a waste of time.