Yes, you should be concerned. It has never happened yet on my oil changes, but I have heard that sometimes the oil systems won't "prime" after an oil change (not sure why). One method I have heard of to clear it is to loosen the oil filter and crank the engine with the starter until oil comes out between the filter and the engine sealing surface. Pull the fuse to the ECU so it won't fire while you are cranking it. When you do get oil flow, you should be able to make the oil pressure light go off after cranking it with the starter for several seconds.
