sgtpeper: If the Pioneer Elites are anything like most of the mid-fi equipment (H/K) then the LFE light just indicates that the source material has "data" on that channel. The LFE (Low Frequency Effects) go to the subwoofer (when connected and enabled by the system). This indicator just lets you know that there is LFE data present in the bitstream. This means that there is specific soundtrack data that the Producer/Editor has put on the DVD which is specifically for the LFE channel. This way, they don't have to worry about crossovers and such.
Its the low frequency channel - for the Subwoofer. On the Marantz SR-7300 there are crossover settings for the LFE: 120hz, 100hz, and 80hz. For sub set for yes any speakers set for small, the receiver will send the set crossover frequency and below to the sub and not the speaker. Speakers set to large will receive the low frequencies. If you don't have a sub -check no in the settings and the low frequencies will be sent to your mains. Other units may have even lower settings like Denon (I think) goes down to 60hz.