That's what is expected if you use an LED, as it's a diode the warning light will only illuminate in one direction only, in the other the LED blocks the current.
It's a bit of a faff to put the other diodes in place to get an LED to work.
@Kiwi_Roy did publish a diagram somewhere on here to show the mod, but you need to get into the dash and if you're not fussed then by far the easiest solution is just to go back to a bulb