It is hard to find...not intuitive...but here is what you need to do.
Let's pick something...how about messages.
GO to Settings > Apps & notifications > App info > Messages > Notifications > Tap on the actual words themselves "Default Make sound" and another window will open up...notice as you scroll down the toggle to "Always pulse notification light"???? Make sure that is also turned on.
Yes, it is hidden and I am not sure why it is like this but you will have to do the same thing for any and all apps that you want to activate the notification LED.
Of course you need to have the default notification LED turned on for all apps...Settings > Apps & notifications > Configure notifications > toggle on Notification light.
Just remember to tap on the actual words themselves once you are deeper into the individual app settings as listed above for messages. Be aware that some apps have more than one set of words to tap on with an LED toggle in both newly opened windows.