//install status wifi LED on GPIO0
#define WIFI_LED_IO_MUX PERIPHS_IO_MUX_GPIO0_U
#define WIFI_LED_IO_NUM 0
#define WIFI_LED_IO_FUNC FUNC_GPIO0
and call wifi status led function at the beginning of your user_init() function BEFORE any
WIFI action to your router.
wifi_status_led_install(WIFI_LED_IO_NUM, WIFI_LED_IO_MUX, FUNC_GPIO0);
Connected LED will blink when trying to connect or having an error, it will switch off when everything is fine.
A short video with wifi status led: