After a lot of fruitless searching I finally figured out the command to turn the scroll lock led on and off in X. I first tried setleds +scroll and setleds -scroll but that only works in a Virtual Terminal. I then tried xset led on and xset led off. That one messes up the num pad. I finally came up with the following:

On:

xset led 3

Off:

xset -led 3

I use mail-notification and set the scroll lock led to go on when I have new mail and set it to go off when I have read the mail.