Actually I was wrong! :D
Did the testing again this evening and everything works! The pinout is correct!
Now, when I short J1 pin 1 to ground, nozzle led 1 is on, and green leveling led flashes sometimes just for a short while.
Shorting J1 pin 2 to ground brings on nozzle led 2. If both of them are shorted to the ground, the green leveling light also comes up. I think it's a normal behavior. Can anybody confirm, if printer is doing the leveling with green led on, are the nozzle lights also on?
Regarding the orange light, it did not work only because it was dead :D Replaced the led and now shorting J3 to ground brings it on!
Now it's time to finally wire everything up the correct way.
Edit:
Even tested the original optical Z-sensor. It's analog, I was getting readings from 1.6 to 2V on J2 pin 7, depending on the amount of light it was seeing while moving towards the surface. I'm not planning to use it, but good to know.