Some models have them and sone don't. Personally, I think they are nothing more than a distraction. If I were you, I'd install a tach - a much better idea. There are how-tos on this site regarding tach installation.
High you have shift light on the brain. He means the light in the shift quadrant for his automatic's shifter. Without the light he can't tell whether it's in P,R,N,D,2 or 1.
The answer is yes it's supposed to have it. It is burnt out. Replace the bulb.