The confusing part is not se vs le for me but "to" vs "for." Your explanation was that an indirect object means to him/it, etc., but the example is "for him", which is very different in English. I think this needs to be explained. When I speak I usually try to clarify with "para mi" for "for me", but it may not be right.
The translation for these indirect object pronouns are normally "to him/her/them" as we state in the lesson. However, with verb "comprar" it is not possible to translate them as "to him/her/them", but their function in the sentence won't change. They will still be indirect object pronouns. In English you wouldn't say "I want to buy them to them", but "for them" for "Quiero comprárselos."
We could also use "para ellos" instead, so you are right when you say you normally use "para" for "for", so we could say the same sentence like this:
"Quiero comprarlos para ellos", but if we decide to use an indirect object pronoun for "para ellos" then we need "se".
I hope this clarified your doubt.
Thanks for the clarification, very thoroughly explained!
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