there shouldn't be a problem with the bulb out indicator being on. One of my regular bulbs didn't work and the bulb out indicator didn't turn on. On inspection, it looks like the previous owner over tighten the screws that hold the white plastic molding in place and cracked it causing the bulb to not line up on the metal stripping which carries the power to the bulb.
Anyways just make sure you dont over tighten the screws.
From the Owners Manual Page93:
Code:
11. Light Outage Indicator
With the key in the ignition switch turned to
the ON/RUN position, an indicator light
comes on. It should go out when the engine
is running. If the indicator light does not go
out after starting the engine, or if it comes on while
driving, it indicates a failure in the parking light,
taillight, stoplight, or low beam headlight.