OK, so you're getting a warning message in the instrument cluster display, not a warning light (Check Engine, ESP, SRS, etc.), right? Like Johnhef says', the warning message will specify exactly which light isn't working. If it's an intermittent problem, and all the lights were working when your dealer checked them, it's no big deal. They can perform a quick-test with SDS. A fault code wiil be stored in either the drivers' side SAM, passengers' side SAM, or the rear SAM (Signal Aquisition Module). This will identify the problem, if it's actually a bulb issue.

Let me ask you this. Does the warning message you're seeing have something to do with the passenger side airbag? This is another common complaint I get all the time. If someone gets in, or out, of the passengers' front seat after the engine is running, you'll get a message indicating the change of readiness status of the the passenger-side airbag. This is a normal condition. Could this be the message you're seeing?