I finally had a chance to look at the circuit diagram in my workshop manual, and realized why your bulb failure lamp did not work. The control module does indeed sense all 3 lights seperately, but the fuse that was blown powers the control module and thus the failure bulb did not come on. When you normally start the car the failure bulb comes on if the control module is working properly, and the bulb only goes out after the first time you've applied the brakes (when it can test all 3 lamps).