I didn't connect the lamp and am happy monitoring my Dynon. I would trust the G3X indication.
I am not an expert but this is what I would do:
Check the connections from pin C to L at the regulator, the lamp circuit goes from C to the light bulb and back to L where it will find a ground in the regulator. Also ensure the regulator's case has a good ground. If you cannot find a loose connection or faulty wiring remove the connector at the regulator and clean the contacts. Once the wiring and light bulb are eliminated, if the fault persists, it is likely the electronic switch within the regulator. On the diagram below imagine the light bulb positioned externally between pins C and L, power comes from C through the light and back to L, if the regulator output falls below a certain threshold a ground is made internally to light the lamp.
This is the way I understand it, I hope this helps.