The fuel pump relay is the only fuel related thing I can think of that comes on with the ignition. See if it goes away. I almost swear I saw my engine light come on with the key when the bike was new and I was alarmed too. I think I remember calling the dealership about this. I also think I have read other threads about this situation over the years.
Here's another thing I think: if you turn the key off and then on a couple times, the fuel pump might not cycle every time. I don't know why. That might be the cause of your warning light but I don't believe it's a problem. My fuel pump circulates fine and I don't see the engine light but I generally don't turn the key on / off more than once.
'08 MIDNIGHT SAPPHIRE BLUE Now Deceased