macmakkaraThe second chip in the photo of the uC's is an LED driver. (the long skinny one). I am not sure if they are going to be assembled with it or not I will get back to you.
ZhonThere are 2 holes right below every switch that are right next to each other. Those are the holes for the LEDs
edit: here are the holes I am referring to
http://imgur.com/L6VKkg8
Jam314Cherry mx switches take 3mm flangeless leds biggers or flanged will have problems with keycaps. Just buy some from ebay for like 100pc @2$ or something. Buy more expensive ones if you don't want cheapest. Just make sure they are 3mm flangeless.
Jam314Most people use 3mm flangeless LEDs. I think 2x3x4 LEDs can also be used, but these are uncommon. Zeal recommends using 1.8mm LEDs with his Zealio switches because 3mm can sometimes run into the keycaps. This is probably also true for other MX style switches too.
Note: only MX style switches support LEDs. Matias switches don't have holes or recesses needed to mount the LED.