OBS-MX buttons have the ability to use the other pins on the connector for LEDs soldered to the board.  The following is the pinout for the connections.  You will need to install your own resistors as well based on the LED you select.

The "red" pin, first on the left, matches to the red outlined resistor and the two red outlined pins on the LED through holes. The second through hole for the leds is common ground, and connected to the same ground as the switch.  Other connections are shown for green and blue respectively.  Please note, that boards are designed for common cathode, where you drive the led colors with separate Vcc signals and they all have a common ground.