GodMan:
Honestly I'm not sure this shield did not come with any diagram. How can I find out?
Use a multimeter.
The (red) shield looks like it just makes the pins of the nano available in Uno form-factor. On the Uno, you need pins 9, 10 and 11; those are the only 3 PWM pins on the Uno that are next to each other. It looks like you have shifted the wires by one pin (8, 9, 10); but it's a bit difficult to see.
GodMan:
Honestly I'm not sure this shield did not come with any diagram. How can I find out?
The shield is self-explanatory - it has the pin numbers, but it does not have the tilde marks for PWM as does the UNO.
sterretje:
The (red) shield looks like it just makes the pins of the Nano available in UNO form-factor.
Indeed it does, but more usefully, it is for connection of servos or "sensor" modules.
sterretje:
On the UNO, you need pins 9, 10 and 11; those are the only 3 PWM pins on the UNO that are next to each other. It looks like you have shifted the wires by one pin (8, 9, 10); but it's a bit difficult to see.
And that is indeed the problem, but even worse, he has connected the second LED module to pins 1, 2 and 3.
The colour coded wires are cute though!
Moral of the story - if you want to play around with colour on more than one LED, use NeoPixels.