This has also happened to my 56-plate (UK) E90 320d. I have a red light that is always on and never goes away. However I can lock the steering when parked and it's always released when I stick the smart key in.
So my car has an AA 5-star warranty but it turns out that it covers pretty much every part of the steering apart from the steering column. Brilliant. Therefore the UK dealership (Sytner Solihull) I took it to diagnose the fault (It came back with A116), wants £693 to replace it and re-program the car.
I'm shopping around for someone who'll do that a bit cheaper as Sytner seem incredibly overpriced (and not very helpful either). I was very tempted to just put up with it as it doesn't appear to have any undesirable effect so far - but it's potentially a safety issue so need to get it sorted really.