It does matter -- LED placement at one end of the switch will affect light distribution. If you have keycaps with backlit legends, you want the LED to be on the same side of the switch as the legend. Many backlit boards mount switches upside down (LED towards the F-row) and put the legend at the top of the key, so the legend is properly lit.
If you're using thick keycaps and just going for an underglow effect, it probably won't make much of a difference.