I would expect that, on a managememt system as clever as the current Audi stuff, the /engine check light would indeed be triggered.
The ECU could log a fault...implausible signal, or possibly it would manifest itself as a possible catalyst problem - an error such as 'Catalys Efficiency Below Threshold' could indicate either a faulty cat or bad lambda probe.
It's probably better to look at the voltage change over the lambda with the car warm and at idle...this may give a better indication of a lambda fault.
In my experience, having had a 'duff' lambda sensor manifest itself in a VAG car of late...you'd have some pretty serious symptons:
Very bad idle...revs hunting between 700 and 2500 revs
Revs are fine above 2500 revs, when the ECU is out of closed loop mode
Using LOTS of pertol
Bad small of petrol from the exhaust
Emissions about 100 times the MOT limit
All of these I had...and it was the lambda at fault.