The first thing to double check is that you inserted the LED in the right direction.
If the LED +/- polarity is correct, and the switch is in indicator mode, then it's possible that there's a QMK bug. I recently built a KBDPAD MKII and the num lock indicator didn't work. I figured out that it was working as a caps lock indicator instead of num lock, and I tracked it down to a bad code change in QMK. That exact issue does not apply to your keyboard, but there might be a similar bug.
Here's something else to check: Does the scroll lock indicator work?
EDIT: I did skim the QMK code for the KBD8X MKII and I didn't notice any obvious issues like the one I found in the KDBPAD, but don't count that as a thorough code review.
There are a lot knowledgeable people hanging out on the KBDfans Discord. You probably get faster answers there, from people familiar with your board.