USB
This LED indicates that the probe has been connected to a powered USB bus back to the host PC.
SWD
Cortex-M based systems can typically be debugged via either JTAG or SWD (though some MCUs only offer SWD). Standard behavior is for the MCU itself to default to JTAG for a debug connection and the debug tools have to send an explicit sequence to the JTAG state machine in order to switch over. This LED indicates that SWD is being used for the current connection.
TARGET
This LED indicates that at the point that the Red Probe+ is first powered (or the board it is connected to is first powered) that a target board has been detected. This is done by looking for VTREF from the target. Note that if you remove power from the target, the LED will persist in the on position if the debugger has accessed the probe.
