If yours is an 07 you are exeriancing what many of the 07s have. It could be one or the other, linkage, relay, and or both. Some of us have cut out a lil more space, in the shifter slot that is there for low and high. This method did help mine.....for a while. Linkage adjustment is another culprit and the linkage on my Rhino is a biatch to get right. It seems a lil too sensitive to me. Thanks Yama!
Before you cut anything out I would try this......off RF.net. The idle has more to do with how the Rhino shifts into low than I would have thought. Heres the method I read about, and did on mine and it does work.
Its best to have a warm engine to get the desired effects.
While your ride is running turn your air screw clockwise until its is just enough to keep the rhino running. This will allow you to shift into low easier and also should stop the high and low lights from coming on at the same time.
Good luck.