Ok, so here is my theory which would explain where the oil went.
Firstly, the low oil pressure light was only blinking at low speeds. After looking at the oil container again, I think a/ we overfilled a bit, b/ it was closer to 3 litres than 3.5. My theory is than at the 800km service, the oil wasn't properly topped off and by this I mean, the dealer probably only added a very minimal amount of oil. I think the engine used a normal amount of oil over the next 5000km until the light started blinking. This would explain why there are no leaks or smoke.
I topped up the oil pretty much as soon as the light when on, the engine wasn't making any abnormal noises, so I don't think there has been any damages. Also, the oil level has not dropped since I topped it up.
My theory of the dealer error can be supported by yesterday's incident. I recently broke my clutch lever and brought my bike to the dealer to get the lever changed (before the oil thing started). I was given quite a bit of attitude from the service guy who told me that changing a clutch lever was very easy and that I should learn to know my bike... anyways, I asked them to change the lever for me... fast forward to yesterday when I am sitting at a stop light, the clutch started getting very sticky. The light turned green and the revs when up, and the bike was barely moving cause the lever wouldn't spring back... I didn't analyzed right away what the problem was, it took me a few seconds to figure it up... I was in a dangerous situation as I was trying to make a left turn at an intersection...
Each time I went to the dealer to get something done on my bike, the work appeared to always be handled by a very junior person... To me, the oil wasn't topped up properly and the clutch lever was not properly installed.
The dealer I'm dealing with is the only one around, the next closest one is a few hundred miles away so it's tough to get a second opinion...