These lights will activate when you pass over the respective marker beacon (white= inner, orange = middle, blue= outer).
These markers are becoming very rare in the real world - they are supposed to alert the pilot to a certain phase of the approach, but are now being replaced by DME or RNAV positional indications.
In the real cockpit you can test them by pushing the buttons itself - but we have not implemented that.
If you want to see them work, you can fly the ILS 04R at KBOS - it still has OM, MM and IM beacons!
Jan