LEDs no longer bang - or whimper!
Some LEDs have a lot of internal resistance- which has a positive temperature coefficient. Possibly this is an inadvertent "feature" since cheap flashlights often have them in directly parallel and they share current reasonably well. The dice are very small, for one thing. I don't believe this is "more rugged" just a side effect of making them ever-cheaper. See this question and answer for example. 

You'll probably see permanent damage to the LED light output very quickly, when you return to normal operating conditions, which is a lesson in itself.

Hot epoxy isn't as dangerous as some other hot plastics (eg. PVC which can liberate chlorine- a WWI chemical weapon gas, or PTFE which can give you highly reactive fluorine) but it's  not good to breathe. 

Many LEDs have a reverse breakdown voltage that is more than 15-60V, despite the 5V rating, so 9V reverse isn't at all likely to cause immediately apparent damage.