That are a lot of questions in a short posting

Let us see what we can solve.
That the LED does not work yet is correct because you have not been able to activate the onboard ouputs. So we start there.
First you have to push the programming button and keep it pushed down while you start up the soundunit. Then it will flash 2 times (I checked it on my own unit 5 minutes ago).Now you can continue with the programming procedure as described earlier.
I understand that you control the soundunit with a joystick, which in fact is a big toggle switch. This means that you have to "count" 1,2 3, etc. to select the various sounds.
You "count" by moving the joystick from the neutral position to the fully up position and then release it to return to the neutral position.
Next you move the joystick from the neutral position to the fully down position. The sound that you selected will be played.
The list of sounds is as follows:
- count 1 time : start of the motor in idle mode
- count 2 times : reving up the engine without driving
When you move the driving stick the enginesound will follow the movement of the vehicle.
- count 3 times : fail start of the motor
- count 4 times : MG
- count 5 times: FLAK
etc. up to 10 (gearshifting, door opened, door closed, radio message (Feind gesichtet), horn.
Final remark. I described the counting with the "counting" movement upwards and the "play" movement downwards. Depending on your radio this may have to be reversed : counting downwards and playing upwards.
Use the count to 4 (MG) to check how it works on you radio.
When you succeed in programming the onboard outputs you will find that on the 4 count the LED of the MG will start flashing. If you add a second LED for the FLAK, this will work the same way on the 5 count.
Bon chance.