I'm not surprised there was no datasheet in an arduino starter kit (I haven't been able to scare up datasheets, part numbers, or any other documentation short of (often inaccurate) Vf and current specs. However, I'm disappointed that they put in LEDs that didn't work as expected with the resistors they included - that's really shoddy. You need to start people off with parts that work - then once they're comfortable with how things should work, then they can start buying dodgy parts from china and it won't be so bad. But it's not going to get people interested in electronics to sell them kits that don't work.
Re: the led actually burning out - are you sure you didn't slip up and power it without the resistor, even for a split second? If you put 5v on an indicator led, with no resistor, it will typically die instantly - you usually won't even see a flash like you do with incandescent bulbs.
Wow, I thought radioshack gave you more than 1 LED for $2...