Like Reddyford said, it sounds like, if you're consistently having the issue when you hit the 2500rpm range, a vibration issue.
So, if you're idling in Neutral, the indicator lights are out.
If you then engage the turn signal, left or right, it remains on and the front and tail lights blink, correct so far?
If, still in neutral, you rev the engine up to 2500rpm which indicator lights are on and are they on steady? What happens to the front and tail blinkers at that point?
If you drop below the 2500rpm all of the indicator lights go out, except the turn signal, yes?
Have you spoken to the dealer yet? Certainly, within 4 weeks if you had an issue with the bike it would be in their best interests to fix it. I'd be concerned that the indicator lights (Oil pressure and Coolant temp) may be working right and it does indicate something's wrong at that rev level. (Above 2500rpm do the light go back out?)
Also, have you checked the oil and coolant levels? When was the last time the oil was changed? (The dealer should be able to answer that one.)
What's the oil look like (amber, dark amber, black as burnt tar)?
2009 500 LTD (stock)
Memphis Shades Fats Windshield
Vincent & Miguel (tm) Custom Highway and Trunk bars
Shad SH-46 (2010) Top Case
14,700+ miles and holding