No I don't think the lights would come on, because the RAM would probably activate when it is receiving data signals and needs the processor to do this of course, and so needs the CPU to start transferring signals back...it's probably wondering where the heck everything is before the computers beeping and whatever else to say that no CPU is installed yet. So you just install that CPU and watch your computer fly!
Think of it this way.
You can't switch the PC on properly without the CPU and it wouldn't boot, so just like you wouldn't see hard drives loading lights up for example without the CPU in (because there not doing anything), you wouldn't see the lights on the RAM.
I think USB's are the only things that light up when the computers recieving only partial power
hope this help