As explained above, drive strength is (probably) implemented by varying number of parallel MOSFETs.
When driving an LED, you are dissipating a certain amount of power anyway.
My opinion is that you should do it in external resistor as much as possible, to minimize power dissipation in the FPGA -- hence, use the largest drive strength setting.
Usually, when you calculate the resistor value for the LED, you ignore IO transistor Rds(on). When using the highest strength, the resistance in IO bank is smallest and the error in LED current calculation is smaller.