There are a couple of ways to do this.
- Measure the voltage difference between pins 5 and 2. A difference of 0.45V will indicate that the regulator is limiting the current.
- Measure the voltage at pin 4, relative to ground. A voltage less than 2.77V will indicate that the regulator is likely limiting the current.
The attached schematic is an example of a circuit that implements case #2 above. It uses a TL431 as a comparator. When the voltage at pin 4 drops below ~2.77V the LED will come on.
You would likely want to place a small cap across R2 and would probably need to tweak R1's value for a real-life circuit. Also, it might be necessary to either use an LED with a fairly high Vf or add a diode or two in series with the LED to ensure it stays off when it should.
Another option would be to use a comparator with a built-in voltage reference to implement a similar circuit.