It seems the dashboard lights are a law unto themselves, but from what I can understand, if the headlights are on (either manually or automaticly turned on) the dash lights will be on. If the headlights are off, then the dash lights are off. The exception to this is when ambient lights levels are low, but not low enough to require headlights, the dash board lights come on.
You may have noticed that when unlocking the car, the leaving home lights may not come on, but as soon as you start the car, the headlights do. This is due to the ambient light sensor having 2-3 settings.
The way to ensure that your headlights are turned on in Auto made, is the parking light symbol on the headlight switch will illuminate green. It's a real pain to see, and during the day you may need to cup your hand over it. Stupid if you ask me.
Also, when in Auto mode, the headlights will turn on at speeds over 140kph, and take a while before turning off, so that may be adding to the confussion.