Those LEDs are controlled by the USB Core code, and are defined in the board variant. For the pro micro that's the
pins_arduino.h file in the
#define TXLED0 PORTD &= ~(1<<5)
#define TXLED1 PORTD |= (1<<5)
#define RXLED0 PORTB &= ~(1<<0)
#define RXLED1 PORTB |= (1<<0)
#define TX_RX_LED_INIT DDRD |= (1<<5), DDRB |= (1<<0), TXLED0, RXLED0
If you edit that file and remove everything after the macro name, so you have 5 empty macros, it should disable the LEDs completely.
For the Sparkfun Pro Micro, edit the file at
This is because it has an extra package that is not installed by default.