Cree datasheets explicitly warn against exposing the Cree dome to super glue fumes, which can cloud it as Kramer discovered. Don't know about other LED domes, but I personally would not take the chance.
In addition, the bond strength at elevated temp is poor, especially in the presence of a humid environment.
Finally, thermal conductivity is low, probably at least a factor of 10X lower than AA epoxy.
Thus, super glue seems to me to be a poor choice for a thermal adhesive. It's not much of an adhesive when things get warm and humid, and it doesn't transfer heat well, which will help get things warm. And it can damage your LED as well.