LEDs conduct in reverse direction!
LEDs do not typically have much ability to withstand reverse voltages. In fact, the datasheet you linked to does not even attempt to give these LEDs a rating.

When you connect an LED between a +15V source and a +5V source, you are putting 10V of reverse bias across it, and it isn't surprising that it passes current.

If you want this circuit to work as intended, you need to put a regular signal diode in series with each of your indicator LEDs to block the reverse voltage.