Not sure if the sender is normally open or closed. What happens if you just disconnect the wire from the sender? If the light stays on, then touch it directly to the engine. That way it is a real ground. If the light goes out then check that the sender is not insulated with teflon tape or some other sealant preventing it from grounding. If the light goes off when disconncted then maybe the new sensor is bad too. It can happen. Make sure you are testing with the engine running. Just to double check that both senders were ok, find yourself a gauge with a 1/8 pipe thread and screw it in place of the sender. It should indicate 30-50 psi. If not then there is really something wrong.