Go to sound profiles (click on the speaker at the top corner, scroll down to Set Ring Tones/Alerts, click messages, click each one email mms sms so forth, go to LED change it to on, save do for everyone you want to show on the led. that should fix it
Go into the clock and make sure it's not in Bedside Mode. Mine did this a few weeks ago; I forgot to take it out of Bedside Mode and I wasn't getting a flashing LED when I got messages either.