I concur. There are 3 positions: Parking lamps, headlights on, and auto headlights.
Can't help with a factory solution, but here's what I did:
Philips LED DRLs. They automatically come on when you start the car, and you can wire them to stay on or shut off when you turn the headlights on. They look much more impressive in person...very bright, white, crisp light. Looks identical to Audi, Mercedes, etc.