The last three LEDs of every encoder are reserved for the step counter.
I take it that with your device they also stay on at the 1st encoder when the sequence is running?
Are they fainter, or the same brightness as the step counter?
I´ve noticed with some BCRs that some LEDs stay on faintly all the time.
Does it also happen with the original Behringer firmware?
Could you make a little video with a running sequence? A quick-and-dirty mobile phone video should suffice.