I wonder if you already know how symbol and footprint are connected in KiCad. See How does KiCad know which symbol pin represents which pad of the footprint?.
For a R/G/B/A led you have to choose a symbol whose name begins with LED_ and continues with any combination of R/G/B/A. In KiCad’s official library there is one symbol for every letter order. The reason for that is the symbol and footprint are matched by pin number. The letter order in the name tells the pin order: R, G, B, A tells that R=pin1, G=pin2, B=pin3, A=pin4.
Then you have to choose or find or make a footprint which has four pads with the same pin numbers, the order matching the letter/pin order of the symbol. If you find a proper ready made footprint you select the symbol according to the pin order of the footprint.
In KiCad’s official library there aren’t “fully defined” led symbols, the symbols are generic and you have to connect the symbol and the footprint yourself.
Basically you can use any footprint which has four pads as long as you can physically fit the component wires into the pad holes. (I understood your LED has wires which can be bent.) If you don’t find a good one, make one yourself: Tutorial: How to make a footprint in KiCad 5.1.x (From scratch)?.