The usual technique, for filament type lamps, is for the warning lamp to be connected between the feeds for the lamp on each side. The 21 W lamps provide a sufficiently low resistance path to earth for the 2.5W warning lamp.
This is the way in which Lucas arranged their indicator switches. It has the advantage that if one of the “earth path” lamps fails, the warning lamp is less likely to illuminate, warning of a failure.
On later LED type lamps, as Tim says, there needs to be a direct path to earth, so the feed from each side might well need a diode to prevent energising both sides at the same time.
I am certain that applying 12 V to a loudspeaker will provide a loud enough “click” to be heard. Try applying a 1.5V cell across the speaker!
The current limiting resistor is necessary to protect the speaker,(And the diodes). I doubt if a 8 Ohm speaker coil would withstand a current in excess of 1.5 Amps for long!
Howard