I've had my mechanical fuel pressure gauge in the cab now for over a year and it hasn't leaked a drop, nor does it smell. Using the post filter test port I ran a -4an braided SS line to a 0-15 psi Autometer Ultralite gauge. It's worked flawlessly. Like Scott said it's a good idea to have the gauge to see it there's any fluctuations in pressure, a sign the pump's about to go out. With just a light you may know that the pump went out, but how long do you have to drive home like that and how much damage did it cause... probably none, but for how much it costs I'd ad the gauge, electric if you're worried about a leak, but I prefer a mechanical gauge because I've never heard of one failing. You see electrical senders going out all of the time because of the vibration.
Corey