We present the results of an electrical injection study of spin polarized electrons from ferromagnetic Fe contacts into electronic shells of self-assembled InAs quantum dots (QDs) incorporated in GaAs/AlGaAs spin LED structures. The circular polarization of the emitted light was measured as function of current and magnetic field. The polarization of the EL spectra exhibits strong maxima at energies that do not coincide with the electroluminescence (EL) intensity peaks. The magnetic field dependence of the polarization maxima is consistent with spin injection from the ferromagnetic Fe contacts. The experimental results are compared with calculated emission spectra from multi-exciton complexes (N = 2 and N = 6) as function of electron spin polarization. The energies of the EL features as well as their polarization characteristics are understood in terms of energy shifts due to exchange interactions between spin-down electrons occupying adjacent shells.