How do I change the brightness button to scroll lock button? I recently bought a PSPY keyboard and I tried to turn on the light on the keyboard. 

It connects to my Mac which runs 10.15 Catalina. I tried doing FN + ScrollLock, but it only brightened by laptop.

Do I have to go to setting and change the function or do I need to verify USB is working correctly on my portable Mac?
USB could be working correctly and the keyboard could need a program or another OS and driver to be updated and controlled. 

Have you already ruled out getting support from the vendor or seller? Without any sort of details it will be a lucky coincidence if someone can guess what hardware you bought.