Haven't had exactly that,
but once had the AT light come on simulataneously with the 4x4 light and one of the brake warning lights (ABS I think).
That happened on startup and appeared to be just an electronic malfunction, as it went away after shutdown, and left no readable codes.
It did put the AT into limp mode however, the same as yours.
According to the Owner's Handbook, that protects the transmission by limiting you to "only a limited number of forward gears".
It sure does feel odd as you mention.
Maybe your SES light came on subsequently because the emissions were out of whack with the transmission in that mode.
So the SES code may not help you identify the original problem with the AT.
I suppose warning lights that come on while you are in motion are much less likely to be just a transient electronic glitch.
Getting the ATF level and color checked might be worthwhile before having a dealer charge the diagnostic fee for hooking up their computer.
Hope it turns out O.K.