Dud sensors or someone has sold you either the wrong oil pressure sensor or an oil sender for a light, rather than a gauge. They work in similar ways as each other (they both switch the power being supplied from the gauge to ground), however an oil pressure sender (light) will be grounded (ie: light "on") with no oil pressure and the oil pressure sensor will ground as the oil pressure increases - which lines up with what you are describing.
Regards,
Dave
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