We would always recommend booking your car in for an inspection if you see a dashboard warning light. You should never ignore a warning light as it indicates that something is wrong with your car. Even if you think the issue is minor at the minute, it can easily develop into something more serious.
The most important time to book a diagnostic check is if you see the check engine light. This covers a wide range of fault codes and it is hard to tell what the problem is without specialist equipment and professional knowledge.