Welcome to Saabscene.
You do not have faulty lights. This is a quirk (or feature if you prefer) of the 9000. It's something to do with the car being wired for the daylight running lights that are fitted in some countries. The wiring's there but not the fuse or the DLR front lights. I noticed this some while ago, and then had a good look at the wiring diagram to work out what was going on. I cured the problem by cutting one of the wires at the back of the headlight switch connector, but that's really just me being pedantic. It's probably not a problem to most people.