Just a quick question: Are you talking about the serial data line on a standard PC port? If so, where is the Max232?
Anyway, even if you could send a char that was FF or 00, there would still be a Start Bit, followed by 7 to 8 data bits, followed by one or two Stop bits, so if you hung a scope on the data line, you would see a complex waveform. Measuring that with a DMM is meaningless.
You have already wired the led so that it is off while the data line is in the marking state. To turn it on, you will have to send FF or 00 continuously, not just once...