The low fuel light should come on initially, along with most of the other warning lights, at the last click of the ignition key before cranking the engine.
I am not about to find out if the light comes on by risking running the tank near empty and ending up sucking up all the bottom junk on the diesel tank and end up with more problems.
My guess is if it does not come on during preignition, not likely to come on when fuel is low ?
Sure hope it's just a bulb in the instrument (as Benzmac suggested) because I have to remove to cluster anyway to investigate the trip meter that's not working.
(Benzmac already offered his tip for that problem on another post, by the way.)