Are there intellectual property concerns if I submit "under review" papers as part of my application? In my statement of purpose I talked about the papers that I worked on and two of those papers are currently under review. 

Is it acceptable to submit such papers as part of my application? And are there any concerns on the intellectual property of the work (since it is yet to be accepted)?
Is it acceptable to submit such papers as part of my application?

Yes, you inform people about your work in progress. I do suggest to add the submission date for the two papers, and if a first review has been performed, its date too. 

And are there any concerns on the intellectual property of the work (since it is yet to be accepted)

I would say yes, if you plan to patent some of the ideas, but it might be too late if you have submitted it already. 

And yes in general too. I have seen at a conference C2003 two posters side-by-side, on very similar topics, by researchers from country A, and country B. As I new the researcher from country B, s/he told me that s/he submitted to C2002, which took place in country A. His/her paper was rejected, and s/he suspected his/her idea was used by country A reviewers. No proof though. To maintain your legacy, you can put the paper on a free paper archive, like arxiv. Depending on the precisions you give in your applications, this risk is more or less likely. Do not believe in unknown people honesty.