Lots of folks put lights on their balconies, from what I saw staying there in 2008. It was so cute - plus I noticed folks checking in that looked like they had driven to the resort from home, a couple of families that had Christmas trees in boxes! With a villa, it's nice to make it homey (I brought one the first time we stayed, and had little gifts under it).
Now that they have those removable hooks available (3M?) it's easier to put lights up without damaging anything. I think it's festive!