Since it is a deciduous azalea, it will lose all leaves. Maybe dormant pines or evergreen azaleas still have some photosynthesis going on, and they mind not being in darkness and might benefit from artificial light. But a bunch of branches with no leaves; I don't see the point of adding an LED. I see you are in zone 4. So winters could be terribly cold. Which is why you have a deciduous azalea, as no evergreen azalea will survive a harsh zone 4 winter. But deciduous azalea can. So preventing winter temps from dropping to really low levels and keeping out the wind are definitely good ideas. But an LED? I don't see the point.
But for cuttings, being inside and under lights is very beneficial, of course. Especially with cuttings of deciduous azaleas, if you can trick them that it is not winter, they will not lose leaves and keep growing so they can root better. I have been told that deciduous azeleas are way trickier to root. In part because they lose their leaves. I have my cuttings and seeds inside under lights. But keep your mature bonsai outside or in a greenhouse.