Can't remember if it turns it off after doing the lock-to-lock or after re-centering the wheel. Anyways, worth a try again. Maybe start the X this time. I think its not supposed to matter if the X is started or not.

Otherwise, you might want to take someplace to maybe read any codes.

It could be the steering angle sensor itself, wire harness, a module, etc.

Changing the battery should not cause problems.

I would also try this. Disconnect the battery for 30min to 1 hr. Reconnect the battery. Then try the reset again. Usually the yellow 4x4 is on along with BRAKE and ABS lights I think (or is it the DSC?). After the reset it should all go away.

Good luck and hope its nothing more than this.