Yes I had a similar situation.
Straight and level flight, and one gong, looked down at the panel and no warnings, all T+P's ok,, then another, again no caption, so I thought the gong was playing up but started to look for a LZ. On the third gong and monitoring, I just saw the MRG caption light, glow very briefly then it started more regularly with the light during the auto and Pan calls !!!
Note, its important to turn the Gong off when you have established the fault as it overpowers the RT with ATC.
This was years ago before EC had decided to glue the rubber bung into the back of the output shaft, landed and the whole contents of the MRG were over the tail !
In my opinion the caption should remain illuminated for at least 5sec following an event as in my case the oil press was just dipping below the minimum for a split second enough to trigger the audio warning but not long enough to put the light on.
E.