First off, I hope the switch is actually on the LINE and not the NEUTRAL, and you just have them backward on your diagram. Yeah, it'll work the other way around, but it's less safe. Ideally, there should also be a fuse. If there really isn't one there, consider adding one.
Otherwise, you're overthinking it. The datasheet diagram is indicating that the resistor and lamp are internal (you won't see them, but they're there) inside the switch connected between terminals 2 and 3, and the switch is connected between terminals 1 and 2. They're actually numbered on the switch, so it does matter which way around you have them on diagrams. So you connect terminal 1 to LINE, terminal 2 to the transformer, and terminal 3 to NEUTRAL (where NEUTRAL connects to the transformer is fine).