For $22 you can buy a crapload of LEDs, resistors and normal diodes...

The LED is just an on indicator - LED + resistor can just as easily be applied in parallell to the coil external to the relay. Also means you can place the LED exactly where you want it - if you want it all.

The internal diode to suppress inductive kickback (wired in reverse, so as to not conduct when relay is in normal operation) is nice to have - especially if you're driving the relay with an output that might be sensitive to overvoltages. The collapsing magnet field of the relay coil as the relay is turned off can produce hundreds of volts (but very little current...) that can hurt a sensitive output... But you can get a simple diode and add it externally yourself for a lot less than the price difference between those relays...