You would need a 24 volt DC power supply to illuminate the LED. The 240 volt input to the power supply would be connected to the fan side of the switch. I think a much better solution would be to buy switches that use a neon as an indicator. Most of these will have a built in resistor for the neon light. Make sure you get the correct version as they will probably be available for 120 or 240 volt use.
The safest solution if you are wanting to use that switch on 240 V is to put as small 240 Vac - 24 Vdc power supply in parallel with the fan, and to run the LED from the output of the power supply.