With Google I found a company that has a line of LED indicator assemblies from 6 volts up to 24 volts. As far as I can tell from the power consumption data, they just take two LEDs in parallel and put in the appropriate resistor. At 24 volts, we are talking about 1/2 watt and that can get downright WARM.
BUT, why couldn't "they" put several "tiny" LEDs in series and adjust the resistor so that the same light could be obtained with, say, 5 mA as compared to the more or less standard 20 mA.
OR, for AC use, how reasonable would be it to use a capacitor or coil to drop most of the voltage.
It would be "nice" to have a pilot lamp than can run cool and have a expected lifetime longer than whatever it is monitoring. At 120/240 neon based indicators just don't seem to last very long.