My CX-9 auto headlights behave the same way as Robert's. Kansei, what you describe makes sense and that's what the CX-9 does, which is all fine. But the trully annoying part to notice is that the car still BUZZES at you indicating the headlight are on, even though the car itself is in control of the headlights. Robert is correct, the manual does not describe this behaviour, it just says the headlights will turn off automatically in auto mode, nothing about delay and, more importantly, nothing about buzzing the warning tone in auto mode. That buzzing behaviour is trully stupid. Mazda3 with auto headlights doesn't do that, for example, no buzzing in auto lights mode, the way it should be.
I've asked the dealer and the dealer checked with Mazda Canada. They say it's normal. I've indicated that answer is unacceptable and am escalating it as high at Mazda Canada as I have to. Otherwise, this is trully going to drive me nuts to the rest of the ownership of this car. We'll see how it goes.