Run a constant 20mA DC current through the 2 speaker wires, which lights the LED (LED will need a series resistor and a cap across it). Then just use a large cap in series with the speaker coil, to only allow the AC audio through to the speaker coil.
It should be easy enough to do and give a good safe indication of wires failing or being cut.
As far as adding the DC current injector at the amp end, that might be as easy as putting a resistor from V+ to the speaker terminal, as many 5W amps are capacitively coupled on the output to the speaker anyway.
The whole setup might only cost you a couple of resistors and caps per amp.