We have the same law in Missouri. I don't know if mine is just extra sensitive or not, but I've always paid attention to make sure my headlights come on and they always have automatically when I've turned my wipers on. This leads me to believe there is a setting.
When I've wanted to force my headlights on (when not using my wipers) I've always just turned on my fog lights and the headlights come on too.
2007 335i SG Coupe
2009 128i AW