i had the same problem when i installed LED white bulbs in the driving lights.
the computer measures the resistance of the bulb.
since your bulb is not hooked up directly to the bulb (but to the HID ballast), the computer assumes the light bulb has been burnt and triggers the bulb warning lamp.
what i did was to get a 3 ohm resistor from ebay and hooked it up.
so no matter what happens on that wire the resistance always measures 3 ohms.
weird thing is i also have a phillips HID kit but never got the bulb warning light on for those.

here is the link for what i bought:

http://cgi.ebay.com/LED-Turn-Signal-...QQcmdZViewItem

please take care as these resistors change electricity to heat, and they get darn hot! i burnt my fingers several times on them
so before you turn the lights on to test them the first time.
make sure they are mounted directly to metal. because if they touch any rubbers hoses or wire etc they will melt any plastic.