Using a LED as indicator for 9VAC and "borrowing" a 5V-ground does not work. Why?
The 9 VAC connections are not connected to the common ground of the power supply. Therefore if you wish to use the 9VAC circuit you will need to connect the LED across the two 9 VAC pins. An LED should not be directly used on AC since it generally cannot tolerate the reverse voltage. If you place a regular diode (e.g. 1N4001) in series with the LED and the dropping resistor, you will have a working solution. If the slight flicker of the LED bothers you, you can also add a filter capacitor. A 47 uF electrolytic capacitor should be more than sufficient.