Aura Pro X SSD Macbook Pro Retina 2015 issues
I also recently purchased an Aura Pro X and it has the red LED on as well. Got in touch with their tech support and they informed me that the LED is expected and normal per their engineers. To clarify, this LED is part of the OWC SSD itself (right next to the screw).

Kind of annoying that it's on all the time, but at least it's not a bad thing.

I haven't experienced any of your other issues, but I have yet to use my MacBook Pro extensively since installing it.