I purchased a new door bell switch and the led lights without a return to ground, just wondering how that happens?
The circuit is only one wire which is normally open at the switch.
The LED is across the switch contacts. When the button is not pressed, the LED (and its series resistor) allow a small current to flow from the transformer and through the doorbell coil. Not enough current to move the doorbell striker, but enough to illuminate the LED.
When you press the door bell button, the LED will be shorted out, so it won't illuminate, and full current will flow to ring the chime.