Other than often taking pictures of the stairs winding up the towers I really never paid attention to whether they were open or solid as this didn't bother me. However, I think your feelings are shared by many.

Your thought on weight savings is a definite possibility. I also wonder if it might be that the open steps would allow any water that might make its way into the tower to drain down? Keep water or moisture from pooling on a step and creating a hazard for a keeper lugging fuel to the lantern.