RM,
I'm unable to recreate this symptom.
Can you describe in more detail what you're doing? Are you using a multi-color "common anode" LED? Single LEDs? Are you connecting the anode side of the led to the "positive" connection on the controller (see "LEDs +" on the edge of the PCB where LEDs are plugged in)? Channel Numbers used on servo controller, channel selection on tester, dimmer value on tester?
Dave