The menu option should be for Active D-Lighting and not D Lighting. D Lighting is a different function.
I just looked at your camera's instruction manual and I'd draw the conclusion from what's in the manual that Active D-Lighting should work on your camera when set to raw only. It certainly does work on my Z7 when set to raw only.
So can you tell us how you can tell it is working for RAW images - display on the camera as you are taking photos?