Those blown fuse indicators work on a voltage differential. They are wired across the fuse holder and as long as the fuse is good there is almost zero voltage difference across the light, so it doesn't come on. When the fuse blows there is a good bit of voltage across the light and it illuminates. In order for the indicator to illuminate when the fuse is good, there pretty much has to be a problem with the fuse holder. It could be a broken solder joint on the board.
I assume the associated light is not working?
Salem 29RKSS Pushing a 2500 Mega-Cab CTD!
Gotta go campin!