All three types would work, but not all LED types would give an equal distribution of light throughout the key, and you'll end up with the center of the key being brighter than the edges.
DJ Dao controllers (and IIDX machines) use the
Cylinder type LED, although the ones he uses are slightly different. The ones Dao uses are the actual LED soldered to a tiny piece of PCB, rather than the "wedge base". This is due to clearance through the LED hole in the key.
However, I've been using LEDs with a wedge base, and they fit fine, but I did have to shave down the edges of the LED holder slightly though, due to them not fitting through the bulb holes in the actual sanwa key.
Dotted line is where I shaved, around the complete circumference.