The reverse polarity indicator should only illuminate if the Phase (Live) and Neutral wiring to the consumer unit have been reversed. The caravan's mains appliances will appear to work normally, but their safety may be compromised if the appliance blows its own fuse, as parts of the appliance cold still have mains voltage present on them.
Because there is a possibility of some (continental) caravan sites having been wired with a reversed supply, the UK's NCC stipulate that caravans should have mains consumer units fitted with double pole MCB's and RCD's, so if either of these safety devices operates the dangers of reversed polarity supplies are mitigated.
It would be wise to have the reason for light showing investigated and corrected.
It could be your EHU cable that might have been wired up incorrectly, Less likely would be your house mains supply