I have a facelift 2001 ML so i dont know if the sequence is the same as yours but the ONLY time the low range light comes on is when i select low range the light flashes 3 time and then stays lit (which indicates that i am now in low range).....when i de-select low range the light flashes 3 times and then stays off (indicating that i am NOT in low range. Seems to me that you are indeed getting some kind of message
Hope this helps.