In any KiCad window, look for “Configure Paths…” in the preferences menu. Look to see what path is configured to
KISYS3DMOD and check to see that the path exists on your system. If it exists, check to see that
LED_THT.3dshapes/LED_D3.0mm_IRGrey.wrl exists within that path.
If it doesn’t, you may not have installed the 3D objects.