OK, the led port probably has “GPIO” type specified, so it expects the other “end” to connect to a GPIO bundle of signals. This would be a triple bundle of signals with a GPIO_i, _o and _t.
You could try to change the setting for the port, but I’d suggest an easier way is to delete the existing LED port, select the ap_return and type CTRL + T (or right click and find the “create new port” option). This will generate a new port that will be connected to the signal you have selected.
The existing lsds_4bits probably has pin constraints already set, so you may need to add pin constraints for this port manually.
For the PYNQ-Z2 you would need to create and add a new constraints file (.xdc) with the following:
##LEDs
set_property -dict { PACKAGE_PIN R14 IOSTANDARD LVCMOS33 } [get_ports { led[0] }];
set_property -dict { PACKAGE_PIN P14 IOSTANDARD LVCMOS33 } [get_ports { led[1] }];
set_property -dict { PACKAGE_PIN N16 IOSTANDARD LVCMOS33 } [get_ports { led[2] }];
set_property -dict { PACKAGE_PIN M14 IOSTANDARD LVCMOS33 } [get_ports { led[3] }];
Where led is your port name. You can rename the port to match the constraint or vice versa.
Let me know if any of this doesn’t make any sense.
Cathal