It is not clear whether you are asking about:
1) The RX/TX LED(s) that indicate data/programming activity.
2) The built-in LED connected to (typically) pin 13
Others have responded to your question if you are asking about (1) The RX/TX LEDs.
But if you are asking about the pin-13 LED:
Arduinos (genuine, clone, and work-alike) typically come with a demonstration program ("Blink") pre-loaded onto the microcontroller chip. This provides a satisfying experience to the buyer (especially a first-time user). AND, it demonstrates that the chip and board are actually working BEFORE the user attempts to load any code of his/her own. So at least the user knows that the board WAS working when they first received it.