Just to get this out-of-the-way because it’s going to distract me otherwise, technically you associated the master to the auxiliary. Not the other way around. If you did it the other way around there are other issues.
So assuming you followed the instructions and associated the dimmer to each of the two auxiliaries, this is just a configuration issue.
From the user manual for the auxiliary:
By default, the LED on the WT00Z-1 will turn OFF when the Associated device is turned ON. To make the LED turn ON when the Associated device is turned ON, set Parameter 3 to a value of 1.
I’m tired today and I rely on text to speech so I wasn’t really able to follow your whole post right now. Hopefully other people can help you with the details.
But as it comes out of the box, the LED on the aux will turn off when the master turns on. And the master indicator LED turns on when the power on the master is off. It’s supposed to act as a night light so you can find the switch in the dark.
So, just make sure that the steps that you followed were the ones in the following FAQ:
Once you have the association set up correctly with the master associated to each of the two aux switches ( which means the aux can tell the master to come on when it comes on, so the master is following the aux) then you can work out how to set up the parameters so you get the LED result that you want from indicator lights.