OK we had to dig into this further to make sure you can power up LEDs directly from FEZ directly. The on-board LED(s) are connected directly but we wanted to double check with datasheet to make sure this is within specification.
Here is the datsheet
Looking at “10.3 Electrical pin characteristics” you can see a graph of voltage vs current which goes up beyond 16mA. The voltage will drop but this will not damage your FEZ.
So, go ahead and connect LEDs directly but, as in any microcontroller, do not forget to add a resistor. A 470 ohm resistor is recommended, which will result in under 10mA consumed from the IO.