It's not a light. It'll be a message in the right gauge screen.
Can you describe more about what your sensation is? So far it's just light jerking when driving around in manual mode?
In the CX5's manual and automatic mode, the torque converter will mostly be locked up via the clutch pack in each gear, just like if you were driving a manual car. The only time the torque converter is not locked/used is when at a complete stop, starting off in 1st and at the beginning the initial shift to 2nd. Any time after that, on up shifts, downshifts or cruising, it's on the clutch pack and the torque converter is not used.
Due to the use of the clutch pack in shifting or holding gears, sometimes letting off the throttle or getting back on might produce some light jerking from engine braking.