There may be two problems here..something stopping the engine from turning over and something causing the Red SKEES LED to light.
Try put the Jeep into Park and Neutral at the same time...one of these interlocks may not be working.
Fuse #40 is obviously OK as jumping the Starter Relay does turn the engine over you say.
Have you jumpered the ASD Relay...may change something.
The SKEES system basically has a a Chipped Key, a SKIM Module located at the top of the Steering Column with a wire loop surrounding the key entrance and finally the Key Code programmed inside the PCM.
The SKIM Module reads the Key code off the Chipped key...much like some items at a Supermarket have a chip on it that sets off an alarm if you leave the premises without the chip being dis-abled at the pay-point.
The SKIM Module sends the code up to the PCM.
If the PCM is happy with the code it received it will activate the ASD relay which allows the engine to fire.
If the PCM is not happy with the code it flashes the Red Led ON/OFF rapidly, allows the engine to turn over and fire but engine will cut off after about 10 seconds.
If the PCM is happy with the code it energizes the ASD Relay and allows the engine to turn over BUT if it..the PCM...does not receive the confirmation that the ASD relay has in fact energized...the engine will turn over fine but will not fire and the RED LED stays lit solidly.
Note that all of the above is definitely true on the CRDs but may be slightly different on the Gassers!
So first I believe the fact that the engine does not turn over at all...unless the Start relay is jumpered.. should be traced.
This could be a faulty Park Interlock, Neutral Interlock or I believe a Solenoid in the Transmission may stop the engine turning over!
Once the engine turns over the RED LED being solidly ON can be investigated.
Note that the Chipped Key Code is programmed into the SKIM Module at the Factory. The SKIM Module can only be programmed ONCE! You cannot re-program a SKIM Module from a Breaker Yard! You could pick up a SKIM Module, set of Chipped Keys and a PCM from a Breaker yard if they all come from the same wrecked Jeep.
A new Virgen Skim Module can be purchased from the Dealers and they can program it once with the correct code.
In your case if the Chipped Key, the SKIM and the PCM are all in agreement then the RED LED should not light up and all should be well.
I had an issue with my Export 2002 CRD whereby the Red LED was ON solidly.
The engine could turn over but would not fire. If I jumpered the ASD Relay the Red Led would go out, engine would start and run OK...I drove the jeep like this until I could trace the fault which was a broken wire feeding the ASD Relay.
The Gassers may work slightly different to the Gassers...CRD the ASD Relay supplies power to the Injectors while the Gassers get power to the Injectors as well as the Sparkplugs.
Note that jumping the ASD relay with a false chipped key does not get the Jeep to run...if I knew how to hot-wire the KJ I would not post it in any forum!
You can download the Jeep KJ Service Manuals here for your year....the SKEES system is explained and the Wiring Diagrams are in Section 8W....no 2007 model but try the 2006!
First get the Jeep to turn over!
I presume this is a Gasser unless it is an Export CRD?
Do you have the Owner's Manual? May explain what that Red Led is there for!
The 2007 KJs have a "drive by wire" Throttle Pedal much like the KK has...known to give lots of problems!
www.colorado4wheel.com/manuals/Jeep/KJ/