That is only the case with global variables, and IIRC some class variables. In the Fritzing diagram you provided, none of the LED cathodes are connected to anything, so they can't ever turn on. Also, if those resistors are really 220 ohms, the total current from the microprocessor is dangerously near its maximum specification, IIRC 200mA for all pins combined. Which reminds me, are you using the barrel jack for power? What voltage in? The on board voltage regulator cannot support large I/O output currents.