Interfacing LEDs at communication lines for a RS232 to RS485/RS422
I would not suggest just adding the LED across the + and - wires of the diff-pairs like you propose even with a resistor in series with the LED. The LED data sheet that  you linked shows that the operating current for LED is 20mA. That current level is enough to compromise the signalling levels on the differential interfaces. 

A much better method is to realize that you can indicate activity by just monitoring the + or - wire individually. I would then consider just connecting the wire to an inexpensive logic level small signal N-FET gate. Ground the source lead of the N-FET and the drain terminal connects to the LED+resistor that gets tied to a positive supply voltage.