Confusion.... it's, my middle name 8-O
From what you describe it should be possible using an NPN transistor. Don't think in terms of interrupting the + supply which would present other problems, do it by interrupting the ground side. As I see it, you can power the sensor directly from the PIC pin and also use the same pin to provide a minimal bias current to an NPN transistor. Connect the emitter to ground and the collector to the LED via whatever current limiting resistor is needed.
When the PIC pin is high, the sensor receives power and the transistor conducts to make the LED operate. When it's low, the sensor has no supply and the transistor has no bias so no LED current flows. As I mentioned earlier, you could leave the sensor + supply permanently connected and return it's ground, together with the LED through the transistor. The drawback to this is that when powered down the sensor supply and ground sides both go to 5V so whatever it is driving needs to be aware that the output will also be high in powered down state.
Clear as mud ?
Brian.