Worth noting that while my orange light used to glow steadily, now it just flashes upon connection. I noticed this a few days ago, although I couldn't tell you when the change occurred. Additionally, while the steady glow was very dim, the flash is somewhat brighter. Not super bright, but visible in daylight.
Based on what others are reporting, I'd assume the orange light is indeed a feature, whether it's described in the product information or not. An LED power indicator, designed to flash upon connection to a source.
I've checked it again and now I see that the orange light comes on about 2 seconds after connecting the i-DSP to the iPhone, and it stays on for about one second. It's dim though, as you say, and one would have to look for it to see it.