In general with any lighting system, the efficiency is a balance between light and heat. If you have the light on while cooking and it puts a few extra watts of heat into the oven, the element will turn off a few seconds earlier and the net energy usage is a big fat 0. But heat is perfectly fine in an oven, where you have a high-but-regulated temperature.

The heat is a huge problem for ordinary lamps, to the extent that there were major recalls/design changes many years ago because of halogen lamps setting curtains and other stuff on fire, resulting in metal grid covers for those lamps and eventually they disappeared altogether in favor of much more efficient CFL and then LED lamps. The size is irrelevant for most ordinary lamps but great for an oven, where you want something small so that it won't take away from valuable interior cooking space. These are a type of incandescent light with two key differences: size and heat.

Many ovens use halogen bulbs instead of 'ordinary' incandescent bulbs. As already stated, LEDs can't take the heat.

How the led bulb works