I had the same thing occur last summer and it turned out that there was a small hole in one of the oil hoses that ran from the oil tank to the engine. Though it wasn't really leaking anything telltale (until I got underneath and saw a small drop on the line) it did effect the bike in a similar way.
According to the tech, at the higher revs, the tiny puncture (which was caused by the stainless hoses rubbing against each other) allowed air to be sucked in. This caused the oil light to come on and go off at the lower rpms. Might be something you want to check.