Brightness on reed switch LED decreases with voltage?
The light is weaker because the load limits the current into the LED. 

This should not be wired without a load. You have a high chance of burning the (5) Zener diode. A 9V battery has a high internal resistance, so the current into the diode was limited. If you connected 12V from the car battery, it would likely be destroyed or the fuse would blow.