Could be the control box, but more likely the generator, IMO. The control box has a "cutout" relay that is supposed to open when current starts to flow backwards into the generator; the light is showing you that the cutout is open.
The cutout relay has two coils, basically the "shunt" coil senses generator voltage while the "series" coil senses current. You know the shunt coil is working, because the cutout closes (light goes out) when you start the engine (there is no current when the cutout is open). To open the cutout, the series coil must oppose the shunt coil (when current starts to flow back into the generator), so it must be working as well.
PS, I have a scan of the Lucas Generator & Control Box Tests booklet; PM me your email addy if you'd like a copy. About 2Mb, PDF.