Mine does the same thing, and I haven't gotten very far looking for information on it. When I turn on my Auto climate control to any temperature, the A/C light comes on. I can turn it off without kicking out of Auto, but it'll come back on next time I move into Auto.
I've heard several solutions like:
-It's used to dry the heat
-It's just indicating that A/C will be used if needed
-It's actually turning the compressor on just in case and, in doing so, killing your MPG
I've yet to find a consensus on this, so I turn my A/C off every time I use Auto, or avoid using Auto entirely.
On a side note, my Auto function has actually been acting very strange lately. If the outside temperature is below 20, Auto mode will not do anything to my car until I've already warmed the car up using Manual. I can set the temp to 68 or 85, it doesn't make any difference. I put it in Auto, and my fan stays at 0. If I put it on Manual for a while, and then switch over to Auto, it operates normally.
I don't mean to thread-jack, but I figure they're both related to Auto climate control.