Maplin? Im guessing thats the UK version of radio shack... Anyway it sounds like that LED should work fine but you should test it to see what results you get, get two wires and draw power from the DC powersupply at the 3.3v and a Ground. I belive that the pins values are clearly marked and its nice and big to test. Do this first to check to see if the LED gets warm after a few minutes, If so then the LED wont work, and also do this to see how bright it is. If it all checks out then swap the leds.
And with the Modem led did you remeber to take the casing off the back of where the phone line goes in, or did you drill a hole for it?