Is there a Problem with this SR20DE ?

Hi,

I just bought a new Nissan Primera (or Infiniti G20t in US) with SR20DE
Auto.

The Power light (or engine control light) comes on when I pressed the
acclerator hard (reaching 3000/4000 rpm) from a stop but goes off when I
ease it.

Is there a problem ?

Should I bring the car back to the dealer ?

Yes, you should take it back to the dealers. The engine light is there to warn you of a problem and the dealer should be able to hook up the diagnostics and tell you exactly what it is.