Control slave LEDs from master?

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In all my experimentations with bus connections, whether virtually over USB or using the USART interfaces, I have never been able to figure out if you can remotely control the LEDs of a slave device from a master. I mean, obviously masters can send LED commands to slaves, that is how the LEDs on extension controllers work... but can USB devices be configured to accept those? I have not seen anything that points that way, nor anything that makes a claim one way or the other.

It is not that I have a specific use case in mind either, I am just curious.