The cars electrical system is canbus-based, what this means for LED bulbs is if you haven't fitted canbus-compatible bulbs even though the LEDs light up the car think there's a bulb out due to the much
lower current draw and pings up the bulb warning light.
The solution is to either use canbus-compatible LEDs, which just really mimic normal bulbs by increasing resistance, or code the car to accept LEDs with no error using VAGCOM or similar. IIRC about the only lights that can't be coded out are the headlights.