The majority of cars don't have a warning for low oil levels, the sensor for that has historically been the owner checking the dipstick. Oil level sensors are becoming more common now as more models appear with them but are still not ubiquitous even in brand new cars.
The oil warning light in most cars is for low oil pressure, and if that one comes on it's time to pull over immediately and hope you managed to turn the engine off in time to save the bearings.