FM,
It runs the program after the boot loader ends(takes about 3~4 seconds on my board).It sets up the USB serial stuff and make use of the RX/TX LEDs. Make sure you get the latest leonardo boot loader from Arduino's Github pages, the one from RC2 is messed up.
I tried running the example serial sketch and the RX and TX LEDs flash as expected.
I changed the fuses to activate the HWB pin and running without the bootloader disables the serial and the RX/TX LEDs( but TX pin is held low so LED is always turned on)
Roy