I installed this kernel module in some systems on debian 9.5. The instructions suggest that the nuc_led.ko file will be in the local directory where insmod can find it. That may be true for other systems, but it is not true for me. Instead, it was in the dkms tree at:
/var/lib/dkms/intel-nuc-led/1.0/4.9.0-7-amd64/x86_64/module/nuc_led.ko
I will submit a pull request to update the README, but I'm guessing there's more to the instructions that need to be updated than this.