More generically speaking:
LED1 is tied to D13 and mirrors the led on the MEGA board. Usually just indicates if it's powered (solid) or if it's communicating (flashing rapidly).
LED2-4 just match up with D8-D10 respectively and indicate if the MOSFETs are active, allowing current to pass to ground. Usually D8-10 corresponds to heated bed, fan, and hot end respectively as Waitaki said, but it depends on how you have your board configured. Also note that LED2-4 only indiate that there is power applied to to connections D8/9 or D10 and if the MOSFETs are likely working properly. They do not indiate if something is hooked up to the corresponding connector for D8-10 or if that particular device is working properly. So they are useful in showing that they
could/should be doing something, not necessarily that they
are doing it.
