At the moment, only one led is controllable using the latest kernel.org kernel(2.6.30-rc1, i have no clue about the one included on the plug).
I don't know which one of both is, as in my case the Sheevaplug i got sent was a "prototype" and it has a green led and a red one. The red one is closer to where you plug the power cable.
So, the green one in my case is the only controllable, how? Having the kernel support for it, you can check it with:
# cat /sys/class/leds/plug\:green\:health/trigger
none nand-disk mmc0 timer heartbeat [default-on]
That means that the green led can be used for: heartbeat, timer(have no idea what it means), mmc0(when accessing the SD card? haven't tried) nand-disk(when accessing the NAND filesystem) none (power off) and default-on, which is whats by default.
So, for example, enabling the heartbeat thing:
# echo "heartbeat" > /sys/class/leds/plug\:green\:health/trigger
Can you paste the output of:
# ls -la /sys/class/leds/
? Just to know if the plug:green:health is the same or not.