The guy I studied with told me that Jimmy Page sold his soul to the devil to become the world's best guitar player. Other than that, I never heard any JW legend about Led Zeppelin.
I read "Hammer Of The Gods", the Led Zeppelin story a few years ago and it described the writing of the song. Apparenly, it was written in a few minutes, as the lyrics came out naturally. Being a songwriter, I've had that happen myself.
As for backwards messages, Electric Light Orchestra put backwards messages in their recordings on purpose just to piss off religion. I've played some of their stuff backwards to check it out, and some of the messages are just hilarious:
"You're playing me backwards"
"The music is reversable, but time is not. Turn back! Turn back! Turn back!"
"Thank you for listening"
Blue Oyster Cult also recieved some flak about their song "You're Not The One I Was Looking For" where they inserted someone reading the Lord's Prayer sped up.
However, I can justify that there are bands who insert backwards satanic messages. Venom's "In League With Satan" is one song.