This is standby mode when power light is red, once temp and time have been set, press on/off to turn on the heat once your time and heat are chosen. Instantly activating the heater 

Your sauna has been set for heat with the timer, press set to choose hours or minutes after temp and time has been chosen, and will activate 2-3 seconds later (you will hear a light click that it's activated)

When timer heat mode has been activated and the heat is now being distributed into your body, the 3 lights will remain on.