It's up to you how you connect these devices up - as a chain or independently to the FPGA (you're sure to have enough FPGA I/O).
If connected as a chain then the first bit you send in to the first device will be the on/off state of the last channel of the last device in the chain. You'll then clock in one bit for every subsequent LED channel in the chain.
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there is a clock pin that i connect to some clock source
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Yes, there is a clock pin but I recommend you connect this to an ordinary FPGA I/O pin. Yes the device will operate with a 30MHz clock, but that's over the top for your application. I recommend you generate the clock driving the TLC5925 from logic. By using a much slower clock generated in this way you'll have complete control of the timing into the LED drive.
Yes the LE pin should be driven to all daisy chained devices together, indicating to all devices the newly sent data should be transferred to the output drivers.
I don't see any reason why you're last suggestion won't work either (common clock & data across all devices with separate LE control). However, with the I/O you'll have available from the FPGA I really wouldn't bother. The signal integrity to each device will be far better if they are driven separately. If you do want to do this then I recommend driving separate clocks to each device. Reflections that result from a point to multi point net topology might cause functional problems on your hardware. The clock is the critical signal on this device, make sure it's integrity is good.
Cheers,
Alex