Thanks, so maybe I do have the light, but the sensors broken...
Now I have to find out which one I need.
i.e whether I actually have an oil level sensor, or whether I just need an oil pressure switch (I know some cars operate off of the switch).
I have a dipstick, so I guess it's not a proper level sensor, and maybe just the £5 pressure switch that needs replacing...
Thing is, in my old 3 series, I had a dipstick, but still had a two stage warning light, yellow and red.
Red being when it's really empty, yellow for "yeah, fill up soon".