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The most common thing it could be is the shifter stalk wires going to the cancel swith and LED have chaffed and have shorted out right were the wire bundle exits the shifter stalk. You can't see it because it's hidden by the shifter dust boot. You can take the steering wheel/ignition covers off to verify this. The short circuit is behind the dust boot where the wires exit the stalk.
I've replaced the stalk on a 1998 F150 and a 2000. In neither case was I able to repair the problem so a new shifter stalk had to be purchased. (Not too bad; $124 at the dealer.) You may be able to repair yours with some tape but most likely not. Anyway, it isn't difficult to repair this. You'll have to remove the steering wheel/shifter covers, it may be necessary for you to put the ignition key in the "run" position and pop the lock mechanism out via the small access hole under the lock with a punch tool. that allows you to take the bottom cover off easily. You could just pop the plastic key guard off but it doesn't stay on quite as well when you replace it so it's better to take out the ignition lock mechanism. Then, you can disconnect the OD cancel switch wiring, drive out the shifter stalk attachment pin out of the cradle and take the whole thing out. Don't worry about mangling the pin, the new shifter comes with a new pin so don't re-use the old one. You won't have to mess with the transmission range indicator cable at all since it's attached to the cradle which you won't be messing with, not a big deal at all.
On Edit: I also put extra "padding" around the wires on the new shifter so that it won't happen again.
If I understand correct.y, I am NOT remving the steering wheel.. just the molding around it to access the wiring in the column?
That is correct, there's no need to remove the steering wheel. You just need to remove the two-piece plastic cover that's around where the shifter, the lock cylinder and the turn signal are. Just 4 screws if I remember right. Oh, and while we're at it, disconnect your + battery lead, that way you won't chance any surprises from the airbag... Or fry something.