Power dissipation when connecting LED to +-15v
The first thing you should do is to increase the resistance. Using 20 mA for an indicator LED might have been necessary 30 years ago, but today you're perfectly fine with 2 mA. With an order of magnitude lower current, you won't have the same problem with heat dissipation.

To your second question, with regards to imbalanced rails, that is a non-issue unless your power supply is already so close to its maximum spec that the additional 2 or 20 mA will make it choke. Your op-amp already draws a very imbalanced current from the negative and positive rails, depending on the audio material.