I just dealt with this on a 97 SSE. Check the codes, there will probably be one related to "Engine Hot Warning Circuit" or something along those lines. The PCM sends a signal to the instrument cluster if it senses the engine overheating, and that will trigger the "Check Gauges" light to come on. I can get the wiring diagram for it from work tomorrow to confirm this, but I believe there are seperate trigger wires from the PCM to the cluster for overheating, low oil pressure, and abnormal engine temperature.
I followed the entire flowchart in AllData to determine the failure, and it came down to "Intermittent Failure" as the diagnosis. In my case, the customer declined any repairs. I believe the cause was the instrument cluster, mainly due to the common problems these clusters seem to be plagued with.
'94 Bonneville SLE | 266K miles
CAI - K&N cone filter - polished intake runners - 140 amp alternator - 2.5" exhaust - Magnaflow hi-flow cat - Magnaflow dual outlet muffler - 106K on engine and transmission - Sold 1/14/07
94 VW Jetta - 151K - 2.0 - 5 speed - Ghetto black steelie wheel mod - Techtonics 2.25" cat-back system