You need to check the data sheet for the specific PIC device you are using. Not all pins are direct drive. Some are only open collector and need pull-ups if you need a high output. Also, what level are you using to turn your LEDs on? The I/O pins will drive a higher current for a low(8.5 mA) than a high(-3 mA). So the best bet is to connect the LEDs to you positive rail to the anode and the I/O pin to the cathode.