Is this in PCB view?
In FZ if you put a line of LEDs in a row on a 0.100" (2.54mm) spacing they will overlap, which shouldn't be a problem because you ignore it and just file the flange down in real life where they touch.
If you are making a custom PCB and don't need the 0.100" spacing you set the grid to a bigger spacing, or move the LED in the Inspector with X, Y cords.
The other option is a custom part, like you said. PCB shouldn't be that hard because you only have to mod the silkscreen.