Interesting, I wonder if you have the switch to turn the fog lights on to right of the headlight switch. Also you may want to remove the fuse under the hood for the foglights, as they might be shorting if it says they are on. I am not sure this is one of those odd, symptons. If it makes you feel any better I do have fog lights, and even when they are on, the indicator doesn't come on. Although I think the bulb in the dash is just burnt out.
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