I've read quite a few posts with people saying the LED won't turn on. I just got my an X-bit in for my latest project and I'm having the same "problem". I say "problem" because while the LED doesn't turn on it still connects fine and I flashed it without a hitch. I'll assume at this point that a shipment of chips had defective LEDs since many others complained about the same thing.
But don't worry about it. The chip should work fine anyway.