Indeed, LEDs usually fall under the scope of the EEE (Electrical and Electronic Equipment) EPR, just like heating devices. However, the authorities have ruled that it is the final destination of the product that takes precedence over its composition.
A Christmas sweater or shoes with integrated LEDs are intended to be worn as clothing/shoes by the consumer. At the end of their life, they will therefore be dropped off in a collection bin along with other textiles (clothing textiles, household linen and footwear) and then sent to a sorting facility.