1/ The main power LED needs to be 240V in that configuration. I would consider it optional: if there is no power there, the display on the PID controller will not light up.
The Heat LED needs to be 12-24V (assuming the output Voltage from the controller is within that range). Again, I would be inclined to consider this LED optional. Most PID controllers have an LED on the front to show when the output is on. Most PID controllers also have a limited output current. It is always enough (IME) to drive a single SSR and is usually enough to drive 2 SSRs. If you are going to be driving 2 SSRs and the LED in parallel, check the specs for the components and make sure the PID controller can provide the power needed. I prefer to put a 240V LED in parallel with the elements. With a 2-second output cycle time, it is pretty easy to get an idea of the output from across the shop. It can also help with diagnostics: by accident I found that if the output goes open-circuit, the LED will illuminate continuously at reduced output, due to the SSR leakage current.
2/ The toggle switch and door switch need to be rated for at least the PID controller output maximum current, which you will have checked above: probably no more than 100 mA, so a 1A switch is ample.
3/ The red wire is carrying the current mentioned in 1/ and 2/ above. The signal wire will be fine. Personally, I'd go for 18 ga over 24 ga because it's a lot less finicky to deal with for those who are more comfortable with mechanical stuff than with electrical stuff.
In the past, I have had a 240V (UK mains Voltage) belt from a circuit that was still powered because the SSR had failed "closed". It was obviously non-fatal, mainly thanks to the RCD (GFCI for the Americans) but it was both memorable and painful. I have grave reservations about the use of door switches, or any other safety switch, being used on the control input side of the SSR.
