That was my thought also. It is possible to incorporate user interfaces directly into PCBs in this way. Although perhaps not quite so polished looking as your picture, I have seen very nice looking DIY devices that use a manufactured PCB as a front panel. Especially if you don't need a large panel PCBs are ridiculously cheap and this makes it easy to produce additional devices.
I have also seen backlit panels created from PCBs by taking advantage of the translucent nature of the fiberglass FR4 substrate (which is otherwise made opaque by the copper and solder mask layers. You might search around on hackaday.com for some ideas about this sort of thing as they likely have some articles highlighting such projects.
Break open the product and you'll find a regular LED, with some clever plastic molding: maybe a little tube to prevent light from spreading, and some thinner bits in the surface that allow light to go through. Another simple solution is to use some non-transparent film (e.g. metallised sticker) glued to the inside of a semi-translucent piece of plastic.