The engine light shouldn't stay on because it's cold. We've got some Canadians here, and I don't recall them having the same problems. Hopefully one will chime in here.
Personally, no matter what 10K should be the max you run on the oil just because anything more and Ram could give you a hard time with warranty if you needed it.
If you run it hard, tow really heavy, and just run the crap out of the truck then I would probably think about changing it between 5K...
Ram recommends 10K oil changes, and yes, to be within warranty and compatible with your emissions equipment you need to use the specified oil type.
This thread has all kinds of info about oil changes:
http://www.ecodieselram.com/forum/threads/ram-ecodiesel-oil-change-information.318/
Here is a recent leveling kit thread:
http://www.ecodieselram.com/forum/threads/leveling-2015-ram-1500.675/
Some good info also just by searching "leveling kit". A lot of folks have different ones with no problems reported.
If you're wanting to stay stock and "in warranty", a cold air intake...