Cars haven't used bulbs for dashboard displays in years -they're surface-mount LEDs and not really removeable. Aside from which, part of the test is that the warning light comes on and then extinguishes. i.e. you're not just testing the system but the diagnostics around it too.
Current: 2013 F10 520d M-Sport, Professional Media, Visibility Pack, Reversing Camera, DAB
Previous: 2011 F10 520d M-Sport, 2008 320i M-Sport Coupe, 2002 325i, 2001 318i valvetronic, 1998 318i, 1996 525i, 1990 Porsche 944S2