Single LED powered directly from AC mains
Use Ohm's law:

$$ {220\:\mathrm{V} \over 220\:\mathrm{k\Omega} } = 0.001\:\mathrm{A} = 1\:\mathrm{mA} $$

And power is the product of voltage and current, so:

$$ 0.001\:\mathrm{A} \cdot 220\:\mathrm{V} = 0.22\:\mathrm{W} $$

A 1/2 W resistor could connect across 220V just fine without burning up.

The LED is also a diode, and lets current flow only in one direction. So half the time there's no current at all, so the power is actually half this.

And if you are in a 120V country, the power is even less.

That explains why it doesn't immediately burst into flames, at least. However as others have mentioned, this plug strip has a number of other problems which might will result in other dangerous failures.