Megatronics v3 has three power circuits: one for the heaters,fans, stepper motors etc, one for the heated bed and a 5V logic circuit to power the microprocessor. By factory setting, the 5V circuit is powered from USB, so when you plug in USB the LEDs will turn on. If you want to print stand-alone for example, there is no USB connection, so you need to switch to input power. Megatronics can accept anything between 12V and 24V as input power. The board will down-convert this to 5V for you, you only need to set the power source. This is done using the JP5V jumper, which is located near the USB port.
As you can see in the image, the jumper header has three pins: 1 - I (nput) - 2, When 1-I are bridged, the board will user 12-24V input, when I-2 is bridged, the USB input is used.