They don't do nothing. The shop keeper calls them the "Death Stars" and says they are a bad omen. He says something like don't look at the "Death Stars". So they are purely for flavor and lore.

I Want To Believe ...

I think they might be a reference to Castlevania II: Simon's Quest.

http://www.heisanevilgenius.com/wackywiki/images/5/5f/Castlevania2_0119.png

UFO

Death stars are also in the Fist Of The North Star lore. But not in quite the same way.

You wa shock.

> Sometimes I can get close enough .... Sometimes I can't.

I've beaten Odallus several times on Normal and Veteran, Nintendo Switch. The app "Oniken & Odallus Collection" shows version 1.0.0
The 3 lights are always found in the same places. Always in open areas, at highest position. In all cases that I've found they can be triggered to fly off. I'm not sure, probably it's simply on timeout.
Once triggered off from a spot, they never reappear in that spot on the same playthrough.
And it seems they don't appear anymore on new playthroughs after beating Veteran once.

Other trio-entities in the lore:
- 3 states of mind (fear, rage, courage);
- the 3 heroes statue at Forest-2 entrance; each holding one of 3 sub-weapons available in the game.

I suppose those 3 heroes are from the previous invasion (1000 years back); they thwarted the total human annihilation. Maybe their spirits watch over Haggis.

The Veteran ending suggests Haggis becoming the ultimate god-being for the next 1000 years; or facing another challenge after resisting the Odallus call.
The only difference in the final cutscenes between Normal and Veteran: Haggis is up to something. Aware. It's not over.
On Normal we're shown his statue instead. Obviously, not made by himself, but by his survived brethren.
(We don't come across any other survivors, except the lonely trader; this isn't much of a witness. And it seems the Village was totally decimated - or turned. But this seems to be a budget issue or plot flaw, not a storyline decision. Somebody did witnessed him as the Hero of the day.)
Those 3 fighters might met the same fate. They fought the envasion. Got the Odallus. Probably split it between them. And then had teleported away in the "origin" realm (where Haggis is shown naked after the castle went boom). We don't know what's the business is about in there. And what those 3 been doing for a 1000 years. But people - Sedl'k - aren't aware of this, they just think the 3 hero have fallen somewhere, so they built the statue. Same with Haggis.
If the Team would be blessed with a sequel - please-please-please - we might meet those 3 again.