Is it the cpu debug led or the led up by the cpu fan header?
If you mean the one up by the fan header, it's a no igpu light, or means system OK, ive had 2 different answers about that led from msi, all the new boards have it and it's nothing to worry about, they told me they are looking to add an option at some point in the bios to turn it off, but for now if you don't like it, just cover it up with a small piece of electrical tape.