RF: when I send data, should the TX LED light up?

I'm testing a really simple patch that just writes a counter value to pin 1 on the Arduino Mega. If I monitor this using the Serial Monitor, the TX LED lights up and I can see the values.

However, if I turn the Serial Monitor off, the TX LED extinguishes, leaving me to wonder if I'm actually outputting anything on the TX pin?!

The reason I ask is that I'm not getting anything on a second Arduino with an RF receiver hooked up. Similarly, the RX LED on the second Arduino doesn't light up at all, even if I connect TX on Arduino 1 directly to RX on Arduino 2 using a wire.

Thanks :')

========

TX code

/*
 * Simple Transmitter Code 
 * This code simply counts up to 255
 * over and over.
 * (TX out of Arduino Mega is Digital Pin 1)
 */

byte counter;

void setup(){
  Serial.begin(2400); // 2400 baud communication
  counter = 0;
}

void loop(){
  //send out to transmitter
  Serial.print(counter);
  counter++;
  delay(10);
}

========

RX code

/*
 * Simple Receiver Code
 * (RX into Arduino Duemilanove is Digital Pin 0)
 */

int incomingByte = 0;

void setup(){
  Serial.begin(2400); // baud rate
}

void loop(){
  // read in values, debug to computer
  if (Serial.available() > 0) {
    incomingByte = Serial.read();
    Serial.println(incomingByte, DEC); 
  }
  incomingByte = 0;
}

The rx and tx LEDs are not connected directly to the Arduino's rx and tx pins - they are controlled by the FDDI chip. http://arduino.cc/en/uploads/Main/arduino-duemilanove-schematic.pdf

Many thanks! I'd just stumbled upon an older topic that mentioned just that. Should have searched better :')