Why Is the Red Light on My OutOfAir ZERO Always On?

That's normal. The red light above the STOP button is the power light. It comes on as soon as you plug the OutOfAir ZERO in, whether or not the lid is locked down, and it's lit any time the machine is ready. It doesn't mean something is wrong, and it doesn't mean a cycle is stuck.

If the ZERO sits idle for a few minutes, the red light turns off by itself.

Which light tells me the bag is done?

Press VAC & SEAL (or SEAL ONLY) and its light comes on, and the red power light above STOP goes off. The display counts down while the machine works. When the bag is vacuumed and sealed, the VAC & SEAL (or SEAL ONLY) light goes out, the red light comes back on, and the display blinks 00. That's your signal that the machine is ready for the next bag.