Well they need a limited current and normally that depends on a regulated voltage. I would say powering an LED off the +5V rail is a good choice. The alternative, powering it off the Vin, will require you using a transistor so that you don't exceed the maximum voltage on the output.
If you want to control the LED by connecting it directly to the Arduino then you have to consider the voltage as you have pointed out.
I guess I took his question ("can I use the 5V regulated pin to power components like LED?") more literally. When it comes to powering an LED I stand by my answer. If you also want to control the LED with the Arduino then using a transistor is a good choice and my answer still holds.
Don