Literally open up settings and the go to the search bar, type in LED and it will come up.
Turns out LED notifications has now moved to 'notifications' instead of being in display. Mine was turned off, turned on, powered off and then on phone. All working. Wasnt working for ages.
I've gotten my first missed call notification today, since 2/5/2020. The One UI 2.1 update appears to have fixed the issue. It's a darn shame that it took six (6) months to do so!
Pull down the TOP MENU and please make sure "EDGE Lighting" is enabled. Why I can only GUESS. The Event (Message received) goes to EDGE Lighting and then it is handed OFF to The LED. So if you cut the legs off of Edge Lighting the LED sits there scratching its head. You also have to Go to Settings/Notifications/LED Indicator <- Make sure this is enabled.