I think you need to do more research on how ESP based boards utilise all those pins… they are NOT all created equal, which can make it tricky to control
You didn’t show conclusively whether all your LEDS are common GND (based on the picture, perhaps, but that is just a picture) and thus expecting each pin to be sourcing current when HIGH
I believe both D3 (GPIO0) and D4 (GPIO2) have internal pull up resistors (EDIT - at least they do on my Wemos D1 Mini - NodeMCU clone) so they will react differently to a HIGH signal, since technically they are already HIGH at boot. So you probably need to trigger them LOW and have the LED wired the other way around (common 3.3v) in order to light it up when triggering the pin LOW (AKA sinking current).
I haven’t got an available board on hand to confirm all this… and I sometimes forget/get confused without “hands on testing” so I recommend you experiment and see for yourself.