This is the alarm activation/warning signal. You can have this activated even if you do not have the factory alarm installed. The light will activate when you lock the car via the remote and look as if the alarm is activated (the light will blink intermittently) looking as if you have an alarm.
If the light is not currently activated and you would like it so, you will have to take the car to the dealer to have the light activated.
** Beware: there may be a small charge (depending how good you are in with the dealer you go to) involved to have this performed.....