Why An LED (light emitting diode) is a semiconductor diode that emits light when forward current passes through it, so it is the standard low-power visual indicator on radios, power supplies and panels. It needs only a few milliamps and typically drops about 1.5 to 3 volts depending on color, so it is usually driven through a series current-limiting resistor.
Watch out A FET is an amplifying or switching transistor, and a Zener diode is used in reverse bias to hold a steady reference voltage. Neither produces light, so 'all these choices' fails.
LED = Light Emitting Diode. The only one of the three that lights up.