Normally, the HDD activity LED plugs in to the front panel connector on the motherboard. I wonder if you need to plug this lead into a socket on the Startech unit and then plug the lead from that unit into the motherboard, so the LED is daisy-chained and lights whenever the motherboard connected drive(s) or the drive in the unit is/are reading/writing data.
Without the model number of the Startech unit (or a link to where you got it from), I cannot say for certain whether this is the case.