Hi there,
I think that what you are calling LED's are actually fiber optics light pipes. You should find that they all come from a central point that is illuminated by an incandescent lamp. If they aren't lit with the dash lights on, the lamp is probably burned out. On my 450SL the lamp is located on the climate control switch assy. and the fiber tubes all go to it and snap into the plastic there.

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Richard Wooldridge
'01 ML320
'82 300D 4.3L V6/T700R4 conversion
'82 380SL, '86 560SL engine/trans. installed
'79 450SL, digital servo update
'75 280C