I'm not talking about the water hoses.
On my v-drive there is the raw water hoses that pass through the v drive and two oil circulating lines on either side of the v-drive. They circulate the oil through the raw water to cool the oil. If the one that is before the pump (I don't remember which but I'll take a look at my boat tonight) is leaking then air will get sucked into the hose and stall out the circulating pump. That will cause a loss of oil pressure and the red light will stay on.
You might not see much oil because it would only leak when the tranny is not engaged and there is no oil pressure. It doesn't have to leak much at all (one drop of oil leaking out with no pressure can mean a ton of air leaking in with pressure) wipe the hoses with a clean rag and see if you pick up any oil on them.
We might not have the same system so call up Walter http://www.waltergear.com/
and ask them what they think.
If you take a picture of your v-drive I can give you a better description of what I mean.