Reading through LED threads and posting a few questions of my own, it "appears" only the turn signal bulbs have the messages for a turn signal bulb out.
My guess, FCA saved a few bucks by tossing the flasher control units and having the TIPM control the flashers, that just took changing the wire harness slightly and writing a few lines of software code. Since the TIPM could easily recognize the current draw of a failed bulb, they threw that feature in as well.
Why didn't they do it for all the bulbs? Maybe that would overload the TIPM, or need a more expensive TIPM, maybe they thought it unwise to run all the lights through the TIPM and instead are working their way up to it, a few bulbs at a time with each redesign. High Current Bulbs like the headlamps and fog lamps probably would make it a more complicated design to run through the TIPM, especially the feature to recognize the current load being off, since the current for the headlamps would probably fry the TIPM board.
Again, don't know it for sure, but it certainly seems that way from the posts I've read or discussions I have had.