Steering wheel audio, volume, source lights out.

There must be an illumination bulb which could be burned out. Or there could be a wiring or connector problem. You'll have to explore the situation and find out for yourself what's wrong. An auto electrical shop or a GM specialist should be able to help you if you need it. If you want to find a specialist, here's a directory link for you: https://repairpal.com/gmc-repair-in-woodstock-georgia