Haven't seen the P4B533-V layout personally, but if it's anything like the TUSL2-C, look for the HDD LED connector somewhere close to, but above (i.e., toward CPU end of board). Should be labeled something like HD_LED or HDD_LED.
The MSG LED connector is for alerting you to an incoming fax/other type of incoming message, if you have supporting hardware/software.
Hope this helps.