Hello Chet,
You wouldn't be able to do this in the CODM since the keyboard settings are not as flexible as the full ODF format. In the full ODF you would need to define each MIDI key swtch individually then link those to an indicator lamp. This isn't possible in the CODM I'm afraid. You might have a try at editing the resulting CODM file after it has been loaded in Hauptwerk, but you would need to change how the keyboard settings work, probably not a very easy task if you haven't dealt with the full ODF format before.
Hauptwerk 4 will have its own native LED indicator lamps for MIDI input so you can determine what channel each keyboard is sending on, so if you plan to upgrade and can wait a bit you wouldn't need to worry about trying this on your own.
Here is the control panel which shows the MIDI input and output data: