On the dt ( I imagine all bikes are similar ) the wire goes from the stator an through hole in caseing to the neutral switch 

But where is the wire that goes to the warning light 

I can't find it in the loom

I looked in manual but can't make sense other than the wire colours being brown an light blue 

I think the light is fed off a relay that the switch pulls in.

Could be wrong, purely going off the top of my head lol

Its  light blue..  should find it in the headlight,  basically  the power is down to the switch, and when you select neutral,  this earths  on a lobe on shift plate turning the light on ,  twostroke oil light is on same circuit,