Putting the lamp in series would be great in theory and do exactly what the OP wants. In reality, I really doubt you are going find a 30A indicator lamp.
Putting the lamp in parallel with the element means the lamp is going to come on when you unplug the element. It's that way for everyone, unless you put a power resistor in parallel with both, which is a waste of power to fix a cosmetic problem.
I wired my indicator lamp in parallel with my element, and also wired an LED to the low-voltage side of the SSR. In normal operation, both of them blink exactly the same. When I unplug my element, the 240V indicator comes on but the LED stays off.