No, no indication of the headlights being on on the instrument cluster, only when main beam is on.
TBH, if the lights are set to auto, does it matter? They switch off automatically when you stop and if the light is sufficiently low to need lights, you can see the indicator on the light switch anyway.
If you are worried about it being dark but not dark enough to trigger them, set the auto lights to EARLY, which will switch them on in more light than normal (I have mine set like that).
The only time you need to worry really is in daylight fog, when the sky is white and doesn't trigger the lights. Then you need to intervene, but at that point fogs (if you have them!) is the way to go anyway.