Buzzer then LED, they both come together and all probes of this type will have both. The buzzer limits the current to the LED. So it was your first layout but replace the 330 resistor with the buzzer.
And this is only if one would want to hear the buzzer (pretty hard with the machine moving) but can be useful for manual testing. Also, the same layout without adding +5V to probe works as well, those who are not going to add the +5V, they can also use it manually by looking at the probe LED in the PP page or MACH3 LED contact pages.
I wouldn't worry about the 100 ohm you connected on the open drain output, its opto-isolated input to their board (see attached)
And to clarify your bottom note on the image for everyone, "output-low until edge detected" just means Normally Closed.