Fatal,
If i'm understanding your concern correctly, you want to be able to map FX parameters for different tracks to the Midimix control surface. You want to manipulate fx parameters on different track without having to manually select the different track in the Reaper software. Reaper does support what I just described, with one caveat - for 3rd party fx, it only supports the first 16 parameters, which may or may not be the parameters you wish to maniuplate.
Anyway, to do the mapping, within the track fx you want to map, go to param -> fx parameters list -> learn, and then select the parameter you wish to map.
Like i said it works best for Reaper plugins like ReaComp because then it is easier to see what parameter you are manipulating, but nonetheless it does have limited support for 3rd party plugins as well.
Another use i had in mind is to use one row of knobs to adjust the send level to my Reverb bus for the various tracks. Send level can be manipulated by MIDI control, but it can only be done for the selected track. So, to work around that limitation, i created a custom action that first selects the desired track, then adjusts the send level. This has worked great. Just don't re-order your tracks
.
As for getting the LEDs to work on the Midimix, it is not easily possible, because Reaper does not support midi feedback to control surfaces. This would be a great feature addition (e.g., the ability to send certain midi commands to a control surface based on certain conditions). A complicated work-around has been demonstrated by some very technically savvy users, if you want to spend serious time and effort programming the conversion of OSC to MIDI commands, since reaper supports OSC in this way. But i'd rather just wait and hope that Reaper adds support for custom actions involving Midi feedback to control surfaces. Until then, the control surface LEDs won't work.
Overall i am very happy with my addition of the Midimix control surface to my Reaper setup. It is particularly useful for practicing guitar/vocals and being able to adjust volumes, reverb, etc. on the fly without having to use a mouse.
Edit1: Correction: the Action to adjust Send level for selected track is natively supported in Reaper, SWS extension is not required.
Edit2: Here is the thread that discusses a possible work around that could be used to get LEDs working, by converter midi to OSC:
http://forum.cockos.com/showthread.php?t=97255