They are an excellent product, in my opinion. Yes, they come with the LED pre-installed.
The power source could be any of a number of things; I believe the KeyWiz has a +5v and ground terminal; I know the IPAC does; or you could do like I do and strip down a red and black wire on your PC's hard drive / CD-ROM drive power cable and utilize the power from there.

You can cut either end of a cable like that one and attach a quick disconnect to each. I run all of my Novagem buttons to a terminal block (Euro style, also available at GGG) and then connect power to each of the terminals using a loopback system.
I may have a picture of it on here somewhere, yeah, here it is:

So you see the power and ground (red and black, respectively) is coming in on one side, and is interconnected using those loops, and then you can plug the novagems in on the other side.