Strictly speaking, best practice is to use a current limiting resistor when driving an LED from a GPIO pin. In this case, the example sketch pulses each led only briefly, so there is no danger of damage. For more general use, you should select a resistor appropriate for the led you are using. See All About LEDs for more detail.
Don't forget to uncomment the
Adafruit_VS1053_FilePlayer(SHIELD_RESET, SHIELD_CS, SHIELD_DCS, DREQ, CARDCS);line just like you did with the other examples.
If you have headphones, you will hear a beep at the start to indicate that the sketch is running. Then you should see the LEDs flashed in sequence.
If you open the Serial Monitor, you can see the values that are written to and read from each GPIO pin.