Scuse the thick questions - needs to be asked though, but are the Xenons the proper factory fit items? And are you positive they are actually Xenons? (Some peeps think that projector headlamps also mean Xenons, which is obviously not true.

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What about the delay setting?
Make sure your ignition is on, and the headlamp switch is set to dipped headlamps (rather than relying on the Auto headlamps setting) - now pull and hold for 10 seconds the screenwash lever - and see if they work with an extra long delay.