Richard,
Saitek panels (switch, radios, autopilot and others) rely on data passed by saitek plugin, which reads the data from x-plane and sends them via USB to these panels. During x-plane startup, these plugins are not reliable, thus the green lights. After x-plane has started up, all plugins stabilise and all data are correct. Also, when you are flying a fixed gear plane, the gear is technically down, so green lights are ok, though 'three greens' look strange in this kind of the aircraft.
Happy flying.