I had a feeling.Your dealer is not telling the truth. Per OBD2 standard, codes are stored regardless of the light being on or not. Every fault that is tripped are stored until cleared or reset. Some codes are not show when scanned with generic scanners.
Anyways I was on the phone with the actual mechanic/technician today. He said they checked the computer for stored codes and found none, and that they did a full visual inspection of every component of the 4WD system and saw nothing out of the ordinary. He also said that sometimes new cars throw an error once or twice as they are broken in. That sounded a bit suspicious to me, but since I've only seen the warning messages once, I figured I'd just wait and bring her back in when it happens again.