Do you mean the Breeze Controller? There should be an instruction manual for the controller in the documentation in the retail box. It’s in a package about 2X the size of the spare props box. You had to move it to get to the battery charger.
They are the mode indicators. If you use the Power+A to place the controller in Android mode the left most LED will be lit. The next will illuminate if put in iOS mode by powering up with Power+Y. When connected in the app the rightmost LED is lit although hard to tell with the mounting cradle attached.