When I built my first computer back in 1987, an 80386-DX20, I was totally obsessed with getting the turbo case light working, but never could for over a year. Even got new BIOS chips from Mylex thinking that would solve the problem. And then the solution just popped in my head in the middle of the night, what would happen if I reversed the LED connector as it attached to the motherboard? Wow, suddenly that light worked, I felt so stupid for overlooking such an obvious solution :-)
If your keyboard is USB make sure you've enabled USB legacy support in the BIOS, otherwise things won't work until the OS loads which is too late to bring up the BIOS.
On the LED issue, they're polarized, so make sure that they're connected the right way around (generally a colored wire for + and a black or white wire for ground). If you're not sure, reverse the plug on the pins and see if that helps.
On the keyboard, make sure that "fast boot optimizations" on the boot menu page are disabled (not checked) in addition to the suggestion to enable support for legacy devices.