I konw sometime the user button and user DRO need user script
No - not sometime - always.
But the screenset which I learn from(SwissU) has no script for the parallel port pin LEDs
I wouldn't have expected it to. Re-read what I said about the macro pump (or perhaps even a brain)
so now... I think the userLED of oem-code 1855 to 1888 is defaults to belong to parallel port pins state, such as the LED of oem-code 137 to 160 
Sadly, thinking something doesn't make it so.
EDIT: BTW - when you installed the screenset, did you read the readme? Maybe you missed the bit where it says:
"As you can see in the "Diagnostics" tab, I have already planned a series of LEDs for future version "Mach3 v4""