Better a head gasket than a loose liner! Start, as suggested, with the easy stuff and make sure you fill the engine through that little bung in the pipe to the heater matrix, nice and fast, to drive out any airlocks.
If you have got a clean plug then one cylinder is using water.
On the plus side if it's holding pressure for a few days then it doesn't leak!
Don't worry about the level warning light, ours goes on when going round corners, it uses a magnetic proximety switch so it's not that accurate.
Also remember an engine will heat up once stopped, for about half an hour, so it's not uncommon to see some expansion when you park up, could just be coolant that's splashed onto the rad cap or too much coolant in the system, nearly all the air is driven out of the expansion tank when the engine's hot.
Like I said, do the obvious and try not to think the worst just yet.