I sound like a broken record as I'm always telling folks this app will solve the problem, Tasker...but if *all* you need to do is replicate the LED missed notification function, Tasker is an expensive app to do that, as it was intended to do a lot more than that.
I tried NoLED and found it was a battery drain very quickly and uninstalled it.
I bought Tasker to set profiles automatically (volume, brightness, lock/unlock, etc.) based on location/phone state...but recently added profiles (which you can find plenty of on
Profiles - Tasker Wiki) for Missed Message Notifications that work with vibrations as the Captivate also doesn't have an LED.
If you want to try out Tasker, go to the developer's website to download a trial version (I think he gives 7-days) -- don't download from the Market as you only have 15 minutes to trial it...and you'll NEVER be able to trial Tasker properly in that short amount of time.
Be forewarned, Tasker has a steep learning curve. It helps if you've had some familiarity in coding or, at least with if/then formulas in Excel.
There may be other apps out there written specifically to solve your problem, but you may have to do more searching.