I think you can make a ´"window" object with included lighting,
but perhaps you will get in trouble with parameters, because this is not the normal way.
you have to fill the hole, if you don't want to see the lamp on both sides of the wall. and calculation of volumina and surfaces of the wall will be not correct.
users will usually try to insert the lamp with object (not window) tool, so the will be irritated too.
for roofs its pricipally the same
for slabs I don't know a possibility
but in my opinion I wouldn't make it so complicate. first make a hole with a suitable tool (window or seo) then place the lamp.