What happens to I/O pins in Low Power Mode on MSP430
A lot isn't explained in the chip's own datasheet. With 450 processor models, this makes perfect sense : the datasheet describes the chip-specific stuff; common information is refactored out into a user manual covering the entire family of devices.

The user manual for that device family is


  MSP430x2xx Family User's Guide
  
  Literature Number: SLAU144J


Operating modes, ch 2.3, p.38 says:


  When setting any of the mode-control bits, the selected operating mode takes effect immediately (see
  Figure 2-9). Peripherals operating with any disabled clock are disabled until the clock becomes active. The
  peripherals may also be disabled with their individual control register settings. All I/O port pins and
  RAM/registers are unchanged. Wake up is possible through all enabled interrupts.


So, the I/O pins retain their current function and (for output pins) values. 

In other words if you're trying to save power, any power they are supplying to LEDs etc is your problem (turn them off, along with peripherals you don't need, before sleeping).