Most headers I've looked at on modern mainboard output 5V. Fan headers are 12v, so it would burn out the LED quite quickly. You would need to drop voltage with the proper size resistor. My case, i fixed the light issue with a piece of electrical tape.
EDIT: Now that I think about it, you could probably tap into a molex connector's red line, the red wires are 5v, the yellow 12v, and black the grounds. You could use 5v from the molex and a ground to power the led, then you'd know the system was on, and when the system went to sleep the light would just turn off.