I've never had mine (same model, mine's a Spanish STX) do that, ever. I've been unable to engage CC, but that's been due to a fault in the clock spring.
Now, according to the Spanish bloke I've got here (Manuel), there are two conditions that will make the SET light flash (for the "ASCD", the manual doesn't refer to it as cruise control).
1) (Petrol only) Engine coolant temp is slightly higher than normal, the SET light may blink slowly
2) (Both petrol and diesel) Malfunction in ASCD control, the SET light will blink quickly
The system monitors vehicle speed (2009 D40s get this from the ABS sensor rings, but the ASCD gets it from the combination meter), engine RPM, brake (on its own switch separate to the brake lamp switch), gearbox (Park and Neutral switch positions, plus revolution information as per
@Tappet above).
If you've recently had work done on the stereo, try connecting a new earth (negative) wire from any of the body mounting bolts under the dash to the frame of the stereo. The stereo may be "borrowing" an earth path from the instrument cluster causing it to be a little erratic.