Hi,
the LED associated with the Step output will be ON when Step is high, and OFF when Step is low. Given that the Step pulses many thousands of times a second you might see a slight
diminishment in intensity only. The Dir LED will be ON when the axis moves in one direction and OFF when it moves in the other.
You are expecting the LEDs to confirm some high level Good/NoGood type information......they don't. ALL they is reflect whether that output is high or low....nothing else, nothing complicated.
Craig