XBee Shield Association LED
Check the XBEE datasheet for the meaning of 'Association'.



As I read it, it indicates if a Coordinator had teamed up with an End Device or Router or not, and whether they can communicate or not.

At page 17 there is a chapter on Association. Search for Associate LED in that document.


  3) Start Coordinator
  
  The Coordinator starts on the specified channel (CH parameter) and PAN
  ID (ID parameter). Note, these may be selected in steps 1 and/or 2
  above. The Coordinator will only allow End Devices to associate to it
  if the A2 parameter “AllowAssociation” flag is set. Once the
  Coordinator has successfully started, the Associate LED will blink 1
  time per second. (The LED is solid if the Coordinator has not
  started.)


...


  1) Check A1 parameter - AutoAssociate Bit
  
  Set (bit 2 = 1)
  - End Device will attempt to associate to a Coordinator. (refer to steps 2-3). Not Set (bit 2 = 0)
  - End Device will not attempt to associate to a Coordinator. The End Device will operate as specified by its ID, CH and MY parameters.
  Association is considered complete and the Associate LED will blink
  quickly (5 times per second). When the AutoAssociate bit is not set,
  the remaining step s (2-3) do not apply.


...


  3) Associate to Valid Coordinator
  
  Once a valid Coordinator is found (step 2), the End Device sends an
  AssociationRequest message to the Coordinator. It then waits for an
  AssociationConfirmation to be sent from the Coordinator. Once the
  Confirmation is received, the End Device is Associated and the
  Associate LED will blink rapidly (2 times per second). The LED is solid if the End Device has not associated.