Because the headlights are controlled by the BCM. You can try that on your car if you like but Im not trying to screw anything up. The switch power wire is only using a couple amps from the add a fuse. The power for the fogs comes directly from the battery and is controlled by the relay. If you wire them with no switch/relay your asking for trouble IMO. You could run the switch power wire to the headlight power I guess and leave the switch on achieving what you want. Mine just comes on with the ignition. I would also have to run the wire back out through the firewall to the headlight which would be another PITA. You might be able to tap the switch wire from the relay directly into the headlight power. Not sure though. I like having a switch.
2013 Ruby Red Focus SE Hatch
2009 Vivid Red Mercury Mariner Premier
2003 Azure Blue Mustang Mach 1