You just stated like 3 unrelated problems there I think... I'll try to answer it, but tell me if I interpreted it wrong.
1. your mobo hd light doesn't work. (there's no such thing as a cpu activity light!) That's because you either plugged it in backwards on the mobo. LEDs only work one way, not like a lightbulb. If you reverse the orientation, then it'll work. And make sure you have it in the right pins (ofcourse)
2. The bios isn't limited. It's actually quite verbose if you unlock it. And since you seem like you want to get a new board.. Why don't you try the hardware mods first? You'll save yourself $250 if it works. And if it doesn't, you've lost nothing. Get a friend to do it if you're not up for it.
3. The 965 boards aren't that great at the moment. Alot of people are complaining about them. Anyways, according to the AT guide on the main page, you should get the p5w dh. The price difference isn't that great. and it reaches higher overclocks. If you can wait a month or 2, then wait.
4. What problem? the light not working? of course it doesn't affect the performance of your rig. The led wires are backwards. that's it.