Not all features of the "Power convenience group" are logical. You can reprogram the settings or just get used to it.
The headlights go off automatically after 30 seconds if you shut the engine off before you turn off the lights.
If you just leave them on the dash alarm with ding when you open the door. Same with leaving your keys in the ignituion with the motor off.
If you turn your lights off before you shut off the engine they stay off.
headlights come on automatically along with your dome light when you use the remote to unlock the doors.
Just wait till you discover the one touch turn signals with a cop behind you!
You'll look like an idiot switching signals back and forth trying to shut them off.