Depends what is being done with it at the time.
I am guessing it may have been left till late to allow traffic to ease off before manoeuvering into its normal storage place, or do you mean as in driving it down the road,,by mover or pushing?
In a well lit area, whilst the law states that marker lights should be displayed, not only for caravans but cars as well, this is never enforced as far as I know, as long as it is not causing a problem, and is facing the right way in relation to traffic flow.
Sense, however, would say that having lights will improve its visibility to other road users and should be used for safety if nothing else.