Good news is I found out why the LE wasn't getting a DMX signal. Neither chip was flashed with the full hex file.
While at work I downloaded both hex files again. At lunch I ran home and flashed both PICs respectively and powered both up and I now have a data light, and when I run the test function on the LE itself, the DMX LED lights up.
So I opened Xlights and tried to do the test, but no blinky blinky. And the yellow light on the Magjack actually goes out while Xlights is sending a signal....