If you just bought a SPA962, you're going to need to upgrade the firmware to make it work with the 932. The firmware was released only a couple weeks ago. We actually received our 962/932 pair before Linksys released the firmware.
As far as the lamp indicators go, they're officially supported under Asterisk, Broadvoice, and Linksys's own PBX. I've been toying with getting them to work for quite some time, but haven't had any luck with that. Let me know how things fare for you, and I'll be sure to post when I get it to work on my end.