This is true, unless you leave the key in the ignition. If you remove the key, the lights will go out automatically after a set period (20-30 seconds, iirc). If you leave the key in the ignition with the lights on, the lights will NOT go out.That's interesting that the battery died, I never turn off my headlights, they turn off a few seconds after being locked, which is interesting because it beeps at you when you leave them on.
If you leave the lights on and remove the key but the lights never go off, then you have a problem with the system.