Yes, it has the usual warning light and, yes, the sounds are noticeably different for the two opposite methods - exactly in the way that anyone who understands the control functions would expect. Adopting the Mesa approach and noodling around loud-ish at home through an 8ohm Barefaced SC (= 400 watts), the gain ends up around 10 o'clock and the sounds produced are sweet and clean. Done the opposite 'traditional' way produces sounds that are less clean and more dynamic, according to how far you crank up the gain pot - again, just as expected.
OK, beats me why Mesa say do it their way. I think this is just a non-topic!