Rich,
Not sure about using a neon lamp as a HV indicator. If you are referring to using it as a indicator for the bleeder resistors it wouldn't work. When you use two bleeders in series, two things can happen, depending on which bleeder opens you can have either no voltage or full voltage at the midpoint connection of bleeders. I'm not sure how a neon lamp would react to having twice the voltage on it if the ground side bleeder opened. Using a meter is better as it can read half the HV and would still have enough scale left to read the full HV.
Keep in mind, you really do not need any indicator for the condition of the bleeder resistors. The whole idea only works if you use two bleeders in series. If you use only one bleeder resistor or two in parallel you can't use this scheme at all.
Using a neon lamp to monitor your HV in general is not a good idea, you really need a meter to be able to measure the voltage.
Fred
It seems to me a lot of these issues could be addressed by including a volt meter in your power supply.
IF you get into the habit of checking the B+ voltage when you turn on the power supply and you notice the voltage is much higher than usual, then you can figure it's possible the bleeder has blown. It's also possible the choke has shorted turning the filter into cap input.
If the output voltage under load is lower than usual, that would perhaps indicate one of your recitfiers is out and you are running with 1/2 wave rectification.
Also, when you power down, get into the habit of watching the voltage go down.
If it goes down slower than usual, that is also a sign the bleeder is shot.
And, of course, double check the volt meter before you open the supply up to work on it.
Plus, having lots of meters looks cool.