The two blue leds are connected to the ADF4350 and tell it is in lock.
They will go off when the ADF4350 are powered down (aka scan stops before 140Mhz)
There are two more leds on the PCB. One is to indicate clipping and the other shows activity.
Gabriel or OwoComm described them somewhere but I cannot find it again.
Also see
/g/NanoVNA-V2/wiki
