Yes the oil light should come on when the ignition and kill switch is turned on before starting the motor.
e.g.
Ignition = on, kill switch = on, oil light = on
Ignition = on, kill switch = off, oil light = off
If it is not, check the oil tank sensor plug and also the kill switch.

To cycle the power valves again, start the motor. lol.
I think if you disconnect the battery and reconnect it, it might cycle again when you turn the key on.
When setting the valves, i vaguely remember the power valve motor doing it's thing a couple of times.

If you checked the power valves via the nsr-world guide and they are adjusted properly, they'll be sweet. It wont stop the motor from starting. NSRs will start and run with the power valve locked in any position.