While you can send most anything you like using a Preset, the LED always tells you what preset you're in. That's it's purpose.
WORKAROUND
If you have your effects toggles next to the Preset's Program Change button in the Bank you can use SwitchOn to turn up to 8 (9 if not using Direct Bank) of them ON/OFF, then those would reflect their ON/OFF status and could be used as expected.
WORKAROUND EXAMPLE
BANKS =
{
Direct Bank : Stomp1 | Stomp2 | Stomp3 | Stomp4 | Stomp5 | Stomp6 | Stomp7 | Stomp8 | Stomp9