Mechanical means that the gauge gets the reading mechanically. So that means with a boost gauge that you actually have to run the vacuum line to the back of the gauge.
With an electrical gauge you will get a sensor that you mount in the engine bay, then run a wire to the back of the gauge.
For lighting, if one gauge in the line lights up, then the rest of them probably do. With the Autometer Phantom's you can have them light up in red or green depending on which cover you use.