As annoying (to me, at least) as those LED indicators are, they do serve a real purpose.

The surge suppression devices are typically varistors (or similar devices), which have the unfortunate property of short-circuiting when they fail. To prevent this from causing a fire and destroying one's home, the circuit must include a fuse or breaker of some kind, which will trip when the short-circuit eventually occurs. For the fused variety, usually the protected circuit continues to operate, just without any further surge protection.

The LEDs are fed from the fused portion, so when they stop working, you then know the surge suppression is b0rked.