In order to get LED feedback from Live to the Launchpad, you need to set up a midi track in Live to output the particular midi track you wish to get feedback on. (See image below) However, there is one drawback from this function; The Launchpad is integrated with Live in a way which is operated via standard midi cc and note messages. Therefore, unless a button is assigned in "User mode" to turn OFF midi feedback before switching modes, then you may experience unwanted LED feedback in other Launchpad modes such as "Mixer mode" whereby certain pads will be flashing or illuminated in the wrong color. This is because the Launchpad midi ports are generic and cannot distinguish between the separate channels.
The video below shows how to use USER incorporating LED feedback and also how to turn off the LED feedback in order to stop it from interfering with other modes.
If 2 Launchpads are used, one unit can be operated solely in MIXER mode and the other in USER mode. The LED feedback will only be sent to the Launchpad device specified in the "MIDI To" output type of the MIDI channel in Live (see image above). Therefore the unit selected here can be left in USER mode and the MIXER mode of the 2nd Launchpad will be unaffected.