You have a recital tomorrow and you're asking the question today? Keeping things interesting I see
There are two 'easy' approaches to doing this:
1) You can internally monitor the value of the key to reflect the state of the effect. You can assign LED behavior to modlines, so you could say 'when this key sends 127, turn the LED on, when it sends 0, turn it off'.
The disadvantage of this is that it won't follow changes made in Live. For example if you turn the effect OFF with your mouse, and the effect key thinks it's on, it will take 2 presses to get sync'ed again.
2) You can make the Key output the proper CC to light the LED on that KEY. For example key 1, you would tell it to output CC 110, And then Live will send that CC back to the SS to control the LED. There's some info in the documentation about remote LED control but bassically CCs 20-29 are the red LEDs, and 110-119 are the green LEDs.