Also this shows: it doesn’t really make sense to turn on/off a LED from internal if a LED displays the MIDI status.
For your sequencer: everything is in your hand!
To see if I get this well :
If the leds are assigned to their normal mode (midi status off)
If I press a button that is assigned to the mute on channel one, It will activate this mute in software and the LED assigned to that button will light up only while the button is being pressed down. Â In this same mode, if I press the mute onscreen or have some automation triggering it, the LED on the surface won’t react.
Now, if the leds are assigned to midi status.
If I press the button assigned to a mute, it will activate this mute, the led on the surface won’t light up. Â If if trigger the mute onscreen, it will light or unlight the LED.
Am I right ? Â I’m just trying to understand here, I’m not raving or asking for a new feature 
EDIT :
I guess that if I am wrong in my previous statement, it will then work this way :
If the controller is set to midi status mode,  if I press button 1 which is assigned to mute 1, the button will activate the mute and the sequencer will send this back to the controller which will light up the led.  Now if I press again, the controller will unmute the track and  the sequencer will send back a message to the controller to shut  the led.  If I click onscreen or have some automation, the led will follow the sate of the mute.  That’s sounds more logical to me, in this case, the led is only controlled by midi messages coming from the sequencer.
Sorry, this will eventually get clear in my head 
EDIT 3 :
If I am right about my second statement, then Cubase won’t be able to handle this. Cubase will only send messages to the controller when you toggle them onscreen. If I press a button on the controller, cubase won’t send back the status of the button to the controller. I guess this is a software flaw ?