If your Z-Wave hub allows access to advanced settings and parameter input, you can enable and disable the LED indicator by going to your hub's app interface and changing the value for Parameter 2 (here's how to do that in Vera and SmartThings).
If your Z-Wave hub DOESN'T allow access to advanced settings and parameter input (hi, Wink users!), you can also turn the LED indicator on and off by tapping any of the paddles 6 times quickly.
And this is a good time to mention that if your dimmer is working at 100% manually and remotely (via Z-Wave) but your LED indicator is disabled, make sure that you didn't disable it accidentally by pressing the paddle too many times. Just press it 6 times quickly again to see if it changed modes, or check which value is present for Parameter 2 in your advanced settings.
Got questions about the functionality? Having issues with your LED indicator? Let us know!