Power 4 leds with max7219 and LedControl.h
No it shouldn't matter that you are using separate LEDs, but you will have to connect them in a way that is acceptable to the 7219, they will have to share either a common anode or cathode (can't remember which of the top of my head).

I find its always best to check the basics (Based on personal experience)


Have you got the LEDs the correct way around?
Are you using the correct voltage for everything?
Do the LEDs work when controlled directly by the Arduino, try "Blink"?
Have you tried changing the intensity?
Have you got the required resistors in?
Try inverting the index of the LEDs, i.e. led(x=0,y=0) might be wired (x=7,y=7)?


You loop() is not pausing, so all it is going to be doing is calling that one statement repeatedly.  Now that might not be a problem or the second call may be blocking the first from completing.  So I suggest add a delay for a second or so and see if that changes anything.  Also to prove you are running you Loop() code flash the LED on the board (pin13?).

Hope that helps.