I thought you had to fit resistors when swapping filament bulbs to LED? The LED will draw far less power and this often leads to problems. I have had the same when swapping indicator lights to LED, my flasher unit stopped working!
Why change them anyway - is it just to get a different colour?
Some LED's have built in resistance, had LED's in my Black Edition D in the number plate lights, DRL's, all interiors and front fogs and no errors displayed. Haven't tried them in the E yet, might try them over Easter.
Makes sense, an exterior lighting failure could get you stopped and would certainly fail an MOT so a nice feature to detect bulb failures as they happen. I tend to check my lights before setting off to work anyway but always useful to have. They must have changed the threshold at which the current draw trips the warning?
Once you have it sorted can you post a picture of the before and after shots of the exterior lights so we can see the difference in colour?
With thD's we found that the 'cheaper' LED's were bringing up canbus errors and/or not working properly (especially the DRL's but the ones bought from proper vehicle lighting companies had a better track record.