Turning headlights off?

Just got my Diamond White Pearl MDX SHAWD with Tech package yesterday, and wanted to post this question: Can the headlights be turned off? When I moved the light control to the OFF position, the headlights did go off. The control indicator went back to the AUTO position. When I put the MDX in DRIVE, the headlights came ON? Is this normal for the control to NOT stay in the OFF position?

Thanks.