Oil Warning Lights Audi A4 doesn`t work...

[Malimba]

Hi,
might be a easy fix, but my Oil Pressure Warning light on my audi A4 1,9Tdi 2001 doesn`t work...Drove it empty of oil, heard the nasty sound where the engine wants to go to hell...Immediately stopped, walked to the nearest gas station, bought some oil and waited for 30 mins while I kept banging my head against the steering wheel,coursing Audi up and down....
My previous Audi A4 1999 1,9Tdi didn`t have the have warning light working, and my previous A3 2000 1,8TQ wasn`t working either...

So, is it the oil sensor that is ****** up?? Or doesn`t the Warning light on Audi generally not work??

PS: my Audi is still runing, the noise is gone and the engine poors like a cat again
But really concerned about the warning light though...