That photo of your dash, Insanity, appears to tell you you're in first gear and should change down.
No, it's telling you to change down to
first gear. It tells you your current gear, accompanied by a dot, but when it decides you can be in a different gear, it tells you what gear it thinks you should be in, accompanied by an arrow telling you whether you should change down or up.
So, in the case of the picture (not my own, I just stole it off Google Images), the car would've been in 2nd, with the anti-stall pushing it along.
The gear change indicator will furiously tell you that you're supposed to be in 5th when you're in 3rd at 40, but it refuses to tell you to change down until the anti-stall is activated.
Today, on my drive home, for some reason, I was feeling lazy, so I never went over 3rd gear and kept the engine above 2500 rpm, and although the fuel consumption plummeted to below 35 mpg, the car seemed to thank me for it. The engine felt a lot more responsive even from lower down, and normally when I arrive home, it's making a grumbling diesel-y noise, but tonight, I had the window down and it was sounding better. Sort of a contented engine noise, if that makes sense.
Also, that peculiar vibration I was feeling above 2500 rpm seems to have gone away after I revved the engine to 4000 rpm and kept it there for about 30 seconds.