Another method of controlling multiple LEDs is using a LED matrix. You can have up to 64 LEDs using one MAX7219 driver. It's the same driver that is used for 7-segment displays.
It is not "Serial LED output" - all diodes are connected as matrix or "grid". To make using LEDs with MAX7219 easier, you can buy one of the MAX7219 dot matrix module (example link), which also is very convenient for testing purposes because it has detachable LED dot-matrix module. To test all your assigned annunciators you can use this dot matrix and then detach it and connect two rows of wires (anodes, cathodes) that go to your LEDs connected as matrix grid.
First, to "connect" the Matrix Max7219 driver in the configurator, click an empty pin (only #30-37 can be used) and select the "Add LED Matrix, Max7219" extension type (not "Output Mux"!)
In the configurator image map or parameter table, select any parameter suitable for digital output (such as annunciator) or variable parameter for linear LED graph indicator, and assign it to one of the LED Matrix outputs (from 0 to 63).
If you want to control the LEDs brightness, just "link" the assigned LED matrix module with one of BRT#_Ctrl knob in the configurator, as described here for any device with program-controlled brigtness.