The "click" you hear with the signals and flashers is from a speaker, not
an actual relay, FYI... Put the key in, open the door for the warning. and
put your 4-ways on, you won't hear the clicking noise while the warning
is sounding.
The SJB controls the signals... In your case, if you want LEDs as signals,
you will need load resisters. You only need a value that will allow them
to work. Me, personally, if I have to use load resisters, I won't put an LED
in. I use them for the low power consumption, and the load resister will
defeat that purpose.
Also, as I asked above, with those tails you have? Did they come with a
different harness too? IF so, plug your factory harness back in, put
three LEDs in , and test the signals. IT could be with just the two, it's not
getting the load it needs to activate them... Do you get a hyperflash on
the dashboard indicators, or any other warning?