Is it necessary to mount directly into the MDF? Just cheat a little bit. Go fetch yourself some
Insert Caps,
blanking plug,
Acrylic Disk, even a
Patch 'N' Guard. Anything round should work, Home Depot/Lowes/Ace Hardware probably has scads of suitable round plastic bits and bobs. If your CP is metal, you can find metal pieces there. If you want wood, creating a round disc with a table saw is trivial.
Once you decide on the size of the disc, you can modify the disc to your heart's content without fear of trashing the CP. I would op for a clear part, like Acrylic, shape it into a disc, then affix the LED display on the underside via cement then paint (or start with a tinted acrylic). Then on the CP itself, I would start by carefully counter-sinking the hole just enough for the acrylic to sit inside then follow up with a hole just big enough for the display and wiring to poke through underneath.
As far as I'm concerned. Exposed LED displays/indicators should be reserved for prototyping or for those who want an industrial look. Covering the LED, especially a display like what you want with a small bit of smoke or clear acrylic/glass looks so much more professional.
Up to you, whatever you feel fits your CP best.