Okay, so I tracked all this down and figured what is going on... for model year 2005 and on the security alarm kit is part # 82-11-0306852 and does NOT include the red turn signal stick, you need to additionally order it part #6131-6-946959 which is $75. It'd be interesting to see if the cost of the 2005+ alarm kit is $75 less than the 2004 alarm kit... yeah right.... perhaps MINI's way of making an additional 'pound' :-) . Why on earth they'd remove a flashing LED from the standard security system accessory option is beyond me, but its what they've done.
Guess I'm off to part with $75
