Quick recap: Hero leaves a light burning in the window of her tower so her BF can find his way over to her in the middle of the night. Completely unsafe? Yes. Symbolic? Absolutely.
Right off the bat, we wonder if maybe the light is a symbol for these young lovers' love. Light and love are often related in literature (Dante, anyone?), and this story probably isn't an exception.
Okay, so every night, Hero's flame that guides Leander across the dark water to his lover and reminds him that she's waits for him with open arms. So what does it mean when the flame blows out? That love is—boom!—extinguished. Oh, and they both die. Lose lose.