I've looked through all diagrams that show with and have to do with the dash, and didn't see anything.
If you want, im going to the local Kawasaki dealership tomorrow to pick up some parts for my mule, if you want i can give the parts guy your mule model and year, and i'll print these pictures and show to him and maybe he can figure out something.
**EDIT**
I just found a picture of a dash on Mule 2500 and it looks like someone else added that afterwards. It might also be a option at original purchase. and also in the parts diagram, it shows this dash panel, and all the cutouts for the holes and SHIFT lever, but no cutout for where that light goes. You might have to change connectors behind it and wire in a little LED light or something.