Hi , I recently had the same problem with my 03 LX , broke down on me twice with the gear box 'cog' light on .
Parked the car up until I had time to look at it and checked this forum for pointers of what could be wrong.
Car now would not start at all and nothing in gear display in dash.
Removed motors assembly and carried out strip down and toothed shaft was sticky , cleaned and lubricated and tested
motor , all good on the bench.
Put assembly back on car and still the same , non start and no display in dash.
Checked all wiring for splits and breaks , none found , check continuity of all wires from motor plugs and gearbox/clutch control unit
all ok .
Now had to give up and bite the bullet and take the car to the local Ford dealer , at a cost of £105 for an hours labour I was told it was the gearbox/clutch control unit , £1700 + fitting , Ouch.
Towed car back home thinking what to do , did an internet search and found a guy called Nick Norris of Norris ECU Repairs in Wisbech , Cambridgeshire. He specializes in these gearbox units for Ford and Mazda.
After speaking to Nick it seems that the control unit is a very common problem , he fixes lots of these.
He came to my house in Stevenage and fitted a unit that he had reconditioned , coded it and set up the clutch , he was no more than an hour doing this job , the cost ......£550 all in and he takes the old unit away to refurb.
Car drives like new now , smoother changes than before and no juddering when pulling away.
Top bloke and can be contacted on 07966 062113.
Hope this is of use to someone.