I agree with BonzaiDuck -- if your MB posts are at the end of the block, just move one of the wires to the middle hole on the connector and then plug it in, leaving the open hole hanging off the end. Doesn't matter which way you plug it in because polarity for the Power LED doesn't matter. If, for some reason, your MB posts are not at the end of the block, do you happen to have a two-prong connector laying around anywhere? An old case, for example? Just cut that off, take out the wires, and then put the wires from your new system into that two-prong connector.
Just curious -- what case is this from? I'm wondering if they had some kind of mistake at the factory because I can't figure out why they would do this for a power LED.
As to why they don't make one big connector to plug in all those tiny wires, I don't know. Someone with big ham-hands like me would appreciate that. On one of my old ASRock boards, they did have something like that. I think it was called a Q-connector. But different motherboards place the pins in different orientations so they aren't universal. One MB doesn't necessarily have every pin that another MB might have. For example, my newest MB makes you choose between a HD LED and a Power LED, while many MBs have pins for both. I chose to use the HD LED because it flashes every once in a while and I always know if my machine is on anyway, even though it is silent unless it is under a pretty hefty load. And cases are different too. Some, like my Fractal Design R4 don't have a case speaker so those pins on my MB aren't covered.