Hi! Yes, that would be the way at present. Just add all lights that you don't need to control via LightMix into an "extra" LightSelect, and then you can enable denoising for it, and you can just ignore that extra one when tweaking LightMix settings in the VFB (as it would be adjusting all sorts of unrelated lights).
If possible, in future it would be good to have a checkbox for a LightSelect "Include all lights not already in a lightselect" and then you don't have to worry about manually adding all the lights (as they could be easy to miss). You'd create your extra LightSelect as before, but then just check that box. We'll take a look into it.