Only parts with this symbol 
next to the product photo have both a schematic symbol and pcb footprint supplied. As you have observed the part properties are downloaded for all parts.
Here's what I do for similar designs.
For the LED, there are standard schematic symbols provided by PartQuest, select choose symbol and choose the LED diode and download the part and run Tools Import PartQuest parts to add the part and symbol into the PartQuest database. If you require a footprint, PADS supplies many footprints which you can browse in the schematic using the PADS Decal Browser. I then use Microsoft Access or MDBPlus(freeware) to add the footprint name into the PartQuest database file PartQuest.mdb in the PKG_TYPE column.
For the Connector, I also need to manually create, or select an already created schematic symbol and add the symbol name into the Symbol field found in the PartQuest database file PartQuest.mdb
PartQuest.mdb is found in your wdir probably C:\Pads Projects\PartQuest\PartQuest.mdb