I already replied over on FB but I'll try to phrase it a little easier.
When you say "I could press the Delay stomp button the Kemper and the corresponding foot-switch would light up on the Helix", that won't work, but it will work the other way around.** Think of MIDI as a downwards stream. You can take advantage of the fact that the Helix has a toggle feature on its footswitches, and set it up so when the footswitch lights up on the floorboard, the stomp button on the Kemper also lights up. You can't do it the other way.
And like I mentioned in the FB response, this is all within a single Helix patch and Kemper preset. Once you change presets on either, you will lose the synchronisation of the engage/disengage lights.
The closest you can get to what you want is if you only use the Helix to change Kemper presets/performances and activate stomps. The minute you press a button on the Kemper to change presets or engage/disengage stomps, it will not reflect on the Helix. So if the Helix shows Stomp A as disengaged, and you press the Stomp A button on the Kemper, the effect will be active, but the Helix footswitch will not reflect it. If you then press the Helix footswitch, you will deactivate the effect, but the footswitch will light up.
** I am assuming you want to use the Helix floorboard as your main controller. You could always hypothetically set up the Kemper to send the MIDI commands to the Helix but then you would need the remote anyway (and I don't think you can use the remote as a general MIDI floorboard?) . Keywords here are: MIDI is downstream.