Depending on the LED current but generally the push-pull and open-drain outputs are not recommended for sinking the current of an external LED, you will need to drive the gate of an external switch. Typically a 10kOhm pullup resistor is used with the open-drain output at SQW.
The Output voltage vs. output current graphs on page 11 in the typical operating characteristics section show what kind of current each of these outputs are capable of sinking and you can see the internal resistance and voltage drop of these pins and why they aren't suitable fro driving an LED.