I recently replaced my DFGT with a new one and am currently using a force of 4. Power steering ON. Amateur/pro/simulation setting does not apply to this wheel.
As for that "e brake" symbol in the bottom left corner, that is nothing to worry about. It is just the game showing you what button you were pressing when using the default settings and a DualShock 3, so it reports the wrong thing when using a wheel, but it is for information only and it doesn't mean you have set up anything wrongly. There is an option somewhere to turn off those messages.
As an example, when I press the accelerator pedal, that little message says " X - accelerate ", even though I have mapped my X button on the wheel to flash the headlamps.
As you said the e-brake definitely was not applied, even though the message came up, you can either ignore it, or find the option to turn it off.