Support is aware of issues with the APC products and LED knob feedback.
I did some digging of my own, and I believe I found the solution to the problem. (Although I do not have an APC controller to test it with.)
Reading through the APC's programming guide, in order for the knobs to know how to respond to midi feedback messages, you must tell each knob how you want it to act. Ex: If you want the led's to light up progressively from left to right like a volume knob, or if you want it to act like a pan button where the led indicates which side the sound is panned to.
In the programming guide it states where to send this midid message to, and what the message should say in it for assigning each knob's type. ShowXpress is not able to do this, so you'll have to send it through some kind of virtual midi software. Once you tell the knobs how you want them to act, they will interpret the messages showXpress is sending out to the controller correctly, and thus provide you with the led feedback you are looking for.
That's my theory according to the programming manual.. hopefully it's correct