As above, and also 230 volt incandescent pilot lamps are not readily available, and 400 volt virtually unobtainable.
Neon pilot lamps are available in these voltages but are very dim, and in any colour other than red/orange, dont seem to last long.
LED pilot lamps are becoming more common, but some types can be wastfull on 400 volt supplies.
LEDs operate at only a few volts, and generally use a resistor in series at higher voltages. On a 400 volt supply the waste in the resistor can be several watts.
A low voltage incandescent lamp might use in total 2 watts (1 watt lamp, 50% transformer efficiency)
The incandescent lamp will also be brighter than most LEDs.