Current controlling stepper drivers require the inductance of the motor windings to function at all,
replacing with LEDs could easily destroy the driver and LED as there is nothing to limit the current
without the winding inductance (or did you have a resistor too?).
Hook up exactly as per the circuit Pololu give, with a motor, having first adjusted the current
setting pot just as per their instructions.
Are the A4988 modules from a respectable source?