I don’t think this is directly supported. And i would also solve it differently.
One option that comes to mind is having a multi unit symbol for your pin header and place the appropriate unit in each sheet. With this you would treat the LED as an off board component with all the possible solutions described in Off-Board Components in KiCad 5
And of course there is the option to expose the LED connections of each page via hierarchical pins to the upper abstraction layer and connect them there (so similar to how i treat the battery connector in the example here Hierarchical or flat schematic design, what is best for me? (How to deal with multi page schematics?)) This would most likely be the rout i would choose. Possibly combined with buses depending on how exactly the design is build.
Here again the LED itself would be treated like an off board component as per the FAQ from above.