i had a very similar problem on my first s1 in the end i ran a bridged wire off the ignition... previous to that i had a inline switch but that was a bit dangerous lol.

then low and behold have exactly the same problem on my currant s1, i wanted it sorted and knew how long i spent on teh last car so sent it away to a garage... they said teh modded something, what i did find was that the big yellow relay type thing behind the dash bolted on the bulkhead was disconected.. i have no dash ilumination now for low oil,low water,low fuel etc but that major sensors and warning lights are fine ie low brake fluid,low oil pressure.

i tryed reconnecting the yellow thing teh thing wouldnt fire, disconnected it and its been fine so weather thats a quick fix i dont know. i also had 2-3 relays that all work tryed them and made no difference