Either the Wraith CPU Cooler has a defective LED or maybe it needs a software update.
If you are able to show the Wraith LED is defective, you can try and open an Online AMD WARRANTY REQUEST (AMD Warranty Request Form | AMD ) and see if AMD agrees with you and will replace it under Warranty IF the Retailer you bought it from won't replace it under their warranty.
I have the no LED cooler, no big deal. The motherboard has a LED to show it has power, my PSU has a LED to show power is OK, so this is more important than some vanity LED to me