I turn on my RT310 AFCI/GFCI Outlet Tester when it is not plugged into an outlet and I see the Power light, the Non-Energized light, and the Open Hot light all illuminate, is this correct?

Yes, when you turn on the RT310 meter and it is not plugged into an outlet it is not energized, and therefore the Non-Energized light, and the Open Hot light will illuminate. When you plug the meter into an outlet the Non-Energized will change to Energized, and the Open Hot will change to the correct wiring fault message.