Thanks everyone for the continued comments - and yes as someone mentioned, they appear to have been under-filled or not topped off at all when I bought it. They "sound" hollow now, and the indicator was red. I wonder if there might be a leak somewhere? Everything still works so it's hard to tell.
The indicator was red, so I believe that means it switched to the next tank?
I was also wrong - they are the standard "grill" size tanks, not the tall ones. I haven't filled one of those up in so long, I honestly have no idea how much it should even cost.
I REALLY want to know if I have an external grill hookup for the propane though. I seem to remember that it was listed in the specs for the unit, but haven't had enough time to crawl around under there yet.