I would check at the binding posts and at each light socket for missing or defective insulation. Keep in mind that one binding post is intentionally not insulated, as is one "side" of each socket. An errant wire might also be touching bare metal.
If the ZW is working normally in all other respects, I do not see how the red light could illuminate. It is in the same circuit as the breaker and can only illuminate when the breaker is tripped and a load is present. Indeed, the only scenario I can imagine is if the breaker is stuck open and you are actually running the station in series with the overload indicator bulb.