PortA.4 requires a pull-up to +Vdd. It's the ONLY pin on this PIC that is open drain (open collector). This means it CANNOT SOURCE any current, but it CAN SINK current...

Try this... Connect a Resistor (any value between 220R and 390R) between +Vdd and the Anode of your LED (Long Leg). Connect the Kathode (short leg) of your LED to PortA.4.

CMCON=7
Loop:
High PortA.4 ' LED will be OFF
Pause 500
Low PortA.4 ' LED will be ON
Pause 500
Goto Loop

Read I/O Ports section in the PIC's DATASHEET.