Should an unused VCC pin with a higher voltage be left unconnected?
You don't need to do anything with the 5V pin, just leave it open, but you might want to consider what would happen if someone plugged a USB cable into the connector. From the official schematic: 



There is an SS14 1A Schottky diode between the USB and the AMS1117 input, so the 3.3V cannot backfeed the USB, but the USB could backfeed whatever is connected to that 3.3V supply. 

It's not clear from the AMS1117 datasheet but perhaps the 3.3V backfeeds the EXT_5V node and causes the LED to illuminate (albeit more dimly than if a 5V supply or USB was connected) (that would be my guess).