I all depends what you're dealing with.
And yes, it saves you some money on the power bill (i.e. you can run your Jennings chief at 5 watt instead of 50 watt. And saves you having to replace a bulb every now and again as they fail. Quality LED's lasts for a very long time. But then again, they are obviously more expensive to buy. So it sort of evens out in my experience. So that wouldn't be my primary consideration.
Fact of the matter is that any type of plastic casing, signage, shielding or any type of painted glass doesn't do well with heat over time. An old school bulb running hot (as their do), will over time damage the paint job on glass panels (drying out, until it starts flaking) and make most plastic brittle.
So if you really care about preserving the machine for future generations, you really should consider replacing any bulb with LED lights, if you plan to have it turned on several hours each day. (Obviously in a way that doesn't damage the original wiring or sockets, so that you can always "roll back".). That way it's a win/win as far as i see it.
Of course there are some cases where the old school bulb gives a certain light, or has a certain function that you can't replace with LEDs. But apart from that...
On newer machine > 1960s (Sega, Aristocrat, etc). I wouldn't even care about preserving the old wiring, transformers, etc. I would just replace it all together - especially if their already in rough shape. That doesn't take away from those machine in my opinion.
But each to each own. Puritans may disagree