Also, LED's unlike nearly every other electrical device are constant current devices (as opposed to constant voltage, which is what a USB port, battery, or nearly any other power supply offers for example).
Constant current devices must be wired in series rather than parallel, meaning that if you wanted more than one LED per transformer, you would need to break the existing circuit to add an extra LED. That isn't really compatible with standards around electrical plugs - you would need to short out all unused electrical outlets in a constant current system.
Constant Voltage vs Constant Current is another one of those 'DC vs AC' or 'electron has positive or negative charge' issues - We have chosen one standard, and everything is built on it. We could go back and redecide, but all infrastructure would need updating.