A couple of things. You do need to supply +5 and Ground all of the time.
If you connect +5 to IN1 or IN2 the corresponding LED for the relay should come on.
There is no jumper in the schematic or the board, but there is a fuse.
These relays when used with a load, must have a minimum load attached and are only good to switch AC voltages.
The other real issue is that these relays are active high. The datasheet says the voltage on the IN pin must be between 2.5 and 20 V. What the specs don't say is how much current you have to supply.
So, you do need to check the voltage at your port when it's expected to be ON, with and without the relay being connected.