I believe you need to activate LightFlow in accessibility Settings or something like that (I haven't used it in a while).
There's also a very cute app called NoLED I used when I had a phone that, well, had no LED. Since the Note 4 has an AMOLED panel, displaying black colors uses nearly no power, and this app takes advantage of that by displaying bubbles or dots or whatever you want on the screen itself. That way you can see, for instance, the Facebook logo floating around and the Messages one and the GMail envelope, all with little counters to tell you how many notifications are waiting for you. It can be set up to just light up at certain intervals and then just flash periodically if you left your phone unattended. This does drain your battery faster than just an LED, of course, but it looks really nice.