If I may expand a little on Jeff's explanation - in this context RSE's clipping indicators in their histogram are a little more discriminating than that.
Any pixel tha has even one of its three channels reaching the clipping point will trigger the corresponding colored indicator.
By way of background material necessary to understand all aspects of this, we have to learn a little about the 3 color channels (red, green and blue).
In order to signify a color, such as red, in terms of its relative strength in the form of a number, we assign values from 0 to 255 with zero being none of that color (the absence of any color is darkness or black) and with 255 being the highest possible value (brightness) of that color.
If moving a control, such as the exposure control would change a color to a value above 255 or below zero, we simply clamp or limit that value to the 255 value in the case of highlights or to 0 in the case of shadows, and we call that clamping or limiting "clipping".
So, in the RSE histogram, the little red, green or blue light comes on when you clip a corresponding channel's value at either the shadow end (0) or at the highlight end (255).
Why does anyone care about clipping? Well, if one or more channels are clipping, then the information content is reducing. We are actually removing information that would otherwise be translated into image detail. "Clipping" is the same as taking a napkin with a floral design painted on it and putting it into a dish of Clorox and bleaching out the color.