Where does the green ground wire go on these LED retrofit cans?

You’re seeing that ground wire becuase modern code requires any exposed metal on the trim to be bonded, whereas those older cans were designed for simple plastic or glass trims that didn't need it. The most common way to handle this is to look for one of the existing screws that holds the internal socket plate or the housing itself togather. You don't need a specific green screw; any structural screw on the metal housing will work as long as it makes a solid connection. Just back one of those screws out a few turns, slip the ring terminal behind it, and crank it back down. One thing to watch for is the finish on the inside of the can. If it’s heavily painted or has a thick coating, you shold probably scrape a tiny bit of that paint away where the terminal sits to ensure a proper **metal-to-metal** contact. Without that, the ground wire isn't actualy doing anything. If your old wiring doesn't have a ground wire coming into the junction box on the side of the can, then technically that green wire won't lead back to the panel anyway. But you should still attach it to the housing. It keeps the trim at the same potential as the can, wich is better than just leaving a loose wire tucked into the ceiling. Some guys will tell you to just snip it off with your side cutters and move on. While the risk of a recessed light trim becoming energized is pretty low, it only takes a minute to do it the right way. Once you’ve got it secured under a screw, you can just pop the torsion springs in and you’re good to go.

I was looking at the screws in my old cans and they're so rusted I'm worried about snapping the heads off. Would it be okay to just use a small self-tapping screw to create a fresh grounding point on the side of the metal housing instead? Also, I'm curious about the 'no ground' situation. If the house wiring is realy old and doesn't have that copper wire, is there still a risk of the metal trim becoming 'hot' during a short? I've heard sometimes the metal conduit acts as the ground, but I'm not sure how to check for that. Just trying to figure out if I'm overthinking the safety part.

Using a self-tapping screw is a solid move when the original hardware is rusted shut. I usually drill a tiny pilot hole first so I don’t warp the housing trying to force the screw in.

Also, check if your cans are fed by armored cable (BX) or metal conduit. Even if there's no copper ground wire, the metal housing itself might be grounded thru the pipe or casing back to the panel. If that's the case, attaching that green wire to the can actually provides a real safety ground for the trim. If it's just old two-wire cloth Romex, you're basially just following the instructions to keep things tidy.