You can't put the LED in the link itself, as the link generally only completes the circuit on the positive wire, whereas the LED needs a positive and negative connection. Unless of course you run a double pole link that breaks both positive and negative lines, but that's extremely uncommon.

As far as I know, using the LED on a controller such as a Sabretooth is also not permitted. If the Sabretooth loses power or the LED breaks in battle, there's no indication to show that it's on, but the robot could still be fully armed. That said, the same could happen with a standalone LED, but it's easier to mount them where they're clearly visible. A Sabretooth's LED may not be bright enough to be visible either, unless it's mounted close to or nearby a see-through panel, which puts it at risk of receiving battle damage. And it's much cheaper to replace an LED than a pricey speed controller.