There is nothing to worry about, they are working correctly. The led lights flash as each item is tested during boot. if there is a problem the light will stay on.
from page 19 of your manual
18) CPU/DRAM/VGA/BOOT (Status LEDs) The status LEDs show whether the CPU, memory, graphics card, and operating system are working properly after system power-on. If the CPU/DRAM/VGA LED is on, that means the corresponding device is not working normally; if the BOOT LED is on, that means you haven't entered the operating system yet.