Check out the forum for consumption posts. I get ~28 mpg on average, mostly in D and not worrying too much about fuel. Short journeys kill consumption figures. But if you're worried about that you got the wrong car ;-)
It's annoying that the estimate disappears very soon after the low fuel light comes on. As you say this is often with two or more bars shown. I can sometimes coax it back to life by switching to A. It normally goes on at ~45 miles to go for me, but this may be a reflection of the journey lengths I do.
As said above, after a few miles you get another bong and it turns RED. At this point make sure you're driving to a petrol station! I've done 10 miles after that, somewhat squirming. I seem to remember reading that there was ~2 litres left at this point.