I've wondered the same thing. I have never seen mine come on either. And that said, about 5 months after I bought my VX, I ran the gas down REALLY far. Like, below that last marker line, and the light STILL did not come on. But what did come on, was my check engine light. Not only that, my VX was running REALLY BAD. I was scared to death there was something majorly wrong. This was before I had a scan guage, so I do not know what code it was throwing. Anyway, I limped it home from the store parking lot where it started running rough and the CEL came on. After that, I changed the spark plugs with no change. I then took it to the closest gas station, filled up with a full tank of premium and used some of that tank additive that removes moisture from the gas tank. The CEL went off immediately and my VX never chugged like that again. Since then, I never let the tank indicator get below the last line. My feeling is that I got down to the last couple of gallons in the tank and started to suck up water or something. This caused the CEL and the rough running. I don't know why the low gas light never came on.
Bart