But yeah, I wouldn't want to live in black glass coated rooms.
Well, at least in some countries. Here in Norway, most buildings are heated by electricity - so replacing incandescents with LED or fluorescent bulbs effectively means that you spend less on lighting, more on heating and the sum stays the same - except the new bulbs are costlier and (mostly) provide less comfy light.
Sigh. Free lunches remain elusive.
You would be much better using LED for lighting and gas burning for heating.
So the sum does not remain the same if you do things properly.
It's true though that in countries where there's a significant fossil dependent electrical sector it's better to burn the fuel directly.
Tying lighting to heating is inherently inefficient.
In the north of Norway, Tromso, the lowest monthly average temperature is -6C for January. Coastal Norway is surprisingly warm due to the ocean and Gulf stream.
So even if this was possible (which it is not), the idea would still be rather useless (until you managed to achieve efficiency over 100 % ;) ).