Probably the PSoC is sent to deep sleep thus saving energy.
As long as you are trying to understand the PSoC's internal handling I would suggest you not to enable the BLE radio and use the Kit just for programming pins, timers etc.
In case you got stuck (as here) it is always advisable to post your complete project, so that we all can have a look at all of your settings. To do so, use
Creator->File->Create Workspace Bundle (minimal)
and attach the resulting file.
Now I feel really stupid. I assumed that the LED would light when the pin was held high. It won't because the Pioneer's schematic shows that pin needs to be grounded for the LED to light. So I changed my code to:
if(thingy == CYBLE_ERROR_OK) LED_Write(0u);
and it stays lit, as the board was designed. I suppose that I was thrown by the fact that the LED even turned on when the pin was connected to V+. Had the LED not lit at all, but the slider function still worked, I would have realized my wrong assumption immediately.
So, now my question is, why would connecting the LED's cathode to V+ cause it turn for a short period? Is it due to how PSoC connects its pins?
I suppose the LED is not lit by your LED_Write(), but by the initialization routines. Place a breakpoint on your write and watch what happens...