The signal lights are located to the right of the green power light.
Here is an example of while starting up, all lights are off

The lights to the far left of the green power light show data- send and receive and does not indicate signal.
One signal light, Very bad signal:

Two signal lights, somewhere between bad signal to good signal:

Three signal lights, Very good signal:

Close up of the modem board showing the label of the signal lights

To program via SMS to connect to Plug and Play Scada, there are 4 SMS necessary at this stage:

GPRS /e:1 /apn:internet
NET /i:1 /m:1 /h:196.22.139.148 /p:56267 /sid:2 /ito:300 /rto:60 /e:1
SAVE
RST
The first one sets up GPRS and the APN.
The second one sets up TCP application 1 to connect somewhere on TCP, reporting SIM card number on connect.
The third one saves the settings.
The fourth one resets the modem.
If it doesn't work, send GPRS or NET to the modem. It will reply with the current settings for these commands. Make sure the settings are as you set it above, especially that NET1 returns /e:1 and not /e:0 To get the SIM card number, send SIMID to the modem. 
If you want to use TCP Bridge with PMU ver.3, set the modem to even Parity via COM /i:1 /p:2
You can send CSQ to the modem to see the Signal strength as displayed by the LEDs.