There's no reason you couldn't replace it. You could swap it out with anything that would fit. You'd probably need a soldering iron though.
The instructions are too small on PlaymoDB for me to really see the details, but it appears to me there is a tiny cylindrical bulb inside. If you could sever the connections to the (I assume broken) one of those you have, just attach another working one or an LED or whatever you want in it's place. Since this is so small, I would recommend soldering the connection.
Remember though, you'll need some sort of external resistance for most LEDs, like a resistor.
