On my NUC6i5 with a Samsung 950 Pro and a Crucial SATA SSD the hdd light only lights when the Crucial SSD is used. I wondered about this myself after not seeing this led light up. I read somewhere (?) that the M.2 device needs to support something special to make it light the hdd light in a NUC. Even when lit the LED is kinda weak.
The power LED lights blue if the NUC is up and running or signals an error state by blue flashes (e.g. 3 flashes when there is no memory found). The power LED blinks orange (Amber?) when the NUC is asleep.