It is true that they used Lumos in the vault in the book, and it worked, but what Griphook says is not "No kind of magic would work in here."
This is the relevant scene:
“Accio Cup!” cried Hermione, who had evidently forgotten in her desperation what Griphook had told them during their planning sessions.
“No use, no use!” snarled the goblin.
He is not saying that magic doesn't work in the vault, he is saying that you cannot summon a Horcrux. This is further enforced many other times, including here:
She raised her wand and said, “Accio Locket!”
Nothing happened. Ron, who had been searching the folds of the faded curtains, looked disappointed.
“Is that it, then? It’s not here?”
“Oh, it could still be here, but under counter-enchantments,” said Hermione. “Charms to prevent it being summoned magically, you know.”
Many spells are used in Gringotts, including the Imperius Curse, Cushioning Charms, Confounds charms, etc. by the trio in that visit alone. When Griphook says "No kind of magic would work in here," I assume he means "no magic like that works on the Horcrux."
That all being said, the true reason for this problem is because the movies are nonsense.