Well, I don't think so to the point I do it all the time. I replace incadescent with LEDs when ever:
-I am up against a power limit. I have a 4-pullmor motor Lionel Superchief set with seven cars to which I have added two additional ones. With all incandescent lighting in those nine cars, and the four motors it had, it pull 11 amps when starting out - more than my ZW-L will provide without tripping its breaker. Replacement of incand. with LEDs reduced that to about 6-7 amps.
- or whenever they burn out
- or when I think the heat they cause might melt/damage something
- or when I want a softer or more even look. LED's alone don't necessarily do this, but if I have to take part, say, a caboose because the single bulb inside it is both visible through the windows and too intense in one area, I will replace the bulb with an LED(s) while moving them to the roof/installing relfectors and shades, etc.
I buy 12V LEDs and just wire them in directly - I seldom run trains at over that and run most accessories at that so they seem to last a long time.