Through-hole components are generally hand or wave soldered. These apply on local heating to the pads and not to the component itself.
SMD parts on the other hand are generally reflow soldered. This involves putting the entire part in a hot oven for an extended time. The components are generally made from porous materials which by their nature absorb moisture from the atmosphere. If they get water inside them, putting the parts in an oven can cause it to rapidly turn to steam which in turn expands and can fracture or destroy the part. As such the devices are packed for shipping in such a way as to reduce the risk of exposure to moisture.
Parts that have been out of a sealed bag or which have been sitting for extended periods are generally baked at a lower temperature first to cook off any water before being reflowed in order to stop fracturing.
In the case that the parts are being hand soldered, baking is probably not necessary, especially since it will likely not be a production run. But the distributer doesn't know this, so they do their duty and ensure the parts are properly packaged.
The same applies to ICs as well as LEDs. In fact there are also different classes of sensitivity - some parts are more moisture sensitive than others, and as a result require different levels of packaging and/or have different shelf lives.
In your case it is a Level 2 device which is one of the lesser sensitive parts - pre-baking isn't strictly required unless they are exposed to >60% humidity measured at room temp and they can be stored in the packed bag for many months.