I'm having the same problem with my days-old HTC Hero.
At first all the trackball, LED and other notification lights worked fine. But after about one day of having the device (brand new from T-Mobile in Germany), I tried out the headphone socket and discovered the audio wasn't being routed to them.
This thread then alerted me to the non-functioning LED issue, which I discovered had happened too.
After rebooting and factory resetting there's no change.
I tried emailing
contactus@htc.com, but that bounced due to some weird permissions error on their end (it seems), so I'm now waiting a reply to my query via their webform.
Anyone else got any updates?