While this may be a bit simpler than you want, in Settings there is an option to wake the screen when you get a notification. It is under Display>Advanced>Lock Screen Display>New Notifications. Of course, it isn't persistent, like an LED -- then again, the wake screen (particularly with a bright wallpaper) would be at least as eye catching as an LED -- when the notification comes in. For a persistent notification you can use the Always on Display feature, where it shows that you have new notifications.