"Check right indicator light" message appears when I drive the car but all bulbs are working just fine. Where do I start? The infotainment shows that the car with front right indicator highlighted.

I would unplug the front right light harness and spray some electrical cleaner on it. Then plug it in and out a few times to ensure the cleaner get to all th4 connections. My guess would be some moisture has gotten inside and module is reading a higher resistance so thinks it is faulty.

I will try that as soon as I am successful in disconnecting the harness. It does not want to come off. I tried everything. I don't know what needs to be pressed to release it.

I have had this before. When hitching up a caravan the system has given me an error message about a rear light before even turning on the lights. I think it may have something to do with the car testing itself, and if it notices a fluctuation or issue with voltage or whatnot it gives this message. I replaced the bulb, which was still working, with a new one and the message went away.