No, but you have to constantly turn them on again. It's been like that since I've owned the car, so nothing new. Basically if you don't see the grayed out high-beam with the A inside of it below the green headlight indicator, they are not enabled and you need to flick the stalk to enable them. After I enable them, maybe the next 2-3 drives it remembers that I want them enabled, but eventually they'll be off again.
Because this seems like such a basic bug that hasn't been dealt with for at least 3 years, I have to wonder if it's intentional behavior--maybe some kind of strange safety thing that I don't quite understand?