I just tried to put it into fourth gear while the arrow was turned on and it really bogged badly. I don't see how this can't be bad for the engine. It only bogged badly once, but it was still much too weak to be considered useful in my opinion the other times I tried it.
I have tried to shift maybe 3 times when the light came on. I did not know what the light was for at first, and I HONESTLY thought it meant to accelerate more before bringing it to 2nd gear, and I was fairly certain I was locked out of 2nd gear. Now I know I actually was... After I decided that is what it meant, I never had a problem with it. I think the three times I did have a problem, it was when I was in the left lane, making a left turn from the stoplight and someone was going too slow in front of me.
Mike