Two things I know. The plastic through hole LEDs grinds well, we had over 10,000 T1-3/4 packages CNC ground to a special shape for one project about 10 years ago. Need to short the leads before grinding though. Next up, about 5,000 to 10,000 pieces of one color is the minimum enough to justify bringing out the old triangular mold. Talk to Kingbright or Lumex, they like this sort of project.
Steve