I can see any way that the diode would conduct.
It could be that it is there to protect against some external influence, like an accidental connection of one of the LED wires to a larger voltage.
However, it's entirely possible that the diode wouldn't ever achieve its intended purpose, and no-one has ever tested it. Some designer thought it would have some effect, and included it, and as it does nothing, there is no incentive to remove it.
I've seen diodes used to stop LEDs being subjected to reverse voltages, because the data sheet says that 5 V reverse is the maximum, when in practice they will survive much more, and so the diodes remain, just in case.