If the reverb switching works, but the LED is showing the wrong state, I don't think it's your wiring causing the issue. Sounds like the relay is set up at the other end to send voltage when the effect is off.
You could get around that by using a transistor to make a 'not' gate, and hook the LED up to that. That would reverse the state of the LED anyway.
You could get around that by using a transistor to make a 'not' gate, and hook the LED up to that. That would reverse the state of the LED anyway.