jcm, I am unaware of any specific indications of a faulty transmission through a panel display. Lights on the panel indicate whether you're in 2wd or 4wd and whether your differential is in a lock or unlocked state. If these lights light and your true situation is otherwise, then you have to determine if the sending switch is giving you false information or the problem lies within the relative unit itself.

You can check the solenoid's resistance with a multimeter. It should read between 36 ~ 44 ohms. Of course, having these things going out seems to be a popular occurrence here on the forum. The good news is that they are available and easy to replace.

I couldn't find any information on bad oil pressure regulators on Mitsubishi, but I did discover the following bulletins covering shifting problems with the transmission which might sound familiar to you (These links may no longer be valid):

http://www-odi.nhtsa.dot.gov/tsbs/results.cfm

Make : MITSUBISHI Model : MONTERO SPORT
Year : 2000
Manufacturer : MITSUBISHI MOTORS NORTH AMERICA, INC.
Service Bulletin Number : 0123007REV
Date of Bulletin : NOV 01, 2001
NHTSA Item Number : 627178
Summary : SUBJECT REGARDING POWERTRAIN CONTROL MODULE REPROGRAMMING FOR 2-3 SHIFT FLARE. *JB

Make : MITSUBISHI Model : MONTERO SPORT
Year : 2000
Manufacturer : MITSUBISHI MOTORS NORTH AMERICA, INC.
Service Bulletin Number : 011001
Date of Bulletin : OCT 01, 2001
NHTSA Item Number : 627229
Component : POWER TRAIN:AUTOMATIC TRANSMISSION:CONTROL MODULE (TCM, PCM)
Summary : INFORMATION ON 2-3 SHIFT FLARE, REPROGRAMMING THE POWERTRAIN CONTROL MODULE. *JB

Make : MITSUBISHI Model : MONTERO SPORT
Year : 2000
Manufacturer : MITSUBISHI MOTORS NORTH AMERICA, INC.
Service Bulletin Number : TSB0117001
Date of Bulletin : MAR 01, 2001
NHTSA Item Number : 619840
Component : POWER TRAIN:AUTOMATIC TRANSMISSION:CONTROL MODULE (TCM, PCM)
Summary : SOME AFFECTED VEHICLES MAY EXPERIENCE A SINGLE SHIFT FLARE WHEN UPSHIFTING FROM 2ND TO 3RD GEAR AFTER WARM ENGINE RESTART. *TT

Make : MITSUBISHI Model : MONTERO SPORT
Year : 2000
Manufacturer : MITSUBISHI MOTORS NORTH AMERICA, INC.
Service Bulletin Number : TSB0100008
Date of Bulletin : MAR 01, 2001
NHTSA Item Number : 619836
Component : POWER TRAIN:AUTOMATIC TRANSMISSION:CONTROL MODULE (TCM, PCM)
Summary : MITSUBISHI MOTORS DEALERS WHO HAVE THE MEDIC SYSTEM CAN REPROGRAM THE RED ROM PACK USED FOR REFLASHING VARIOUS VEHICLE'S PCMS. *TT


Hope this proves helpful. Whether your vehicle is still covered is an interesting question.

Let us know how it goes with your other challenges in the meantime...