I'm pretty sure the "headlights on all the time" is standard on all the new Cubs. Like you really need them when you're mowing on a sunny day!
I think the older models had a 2 position key switch for lights on or off. They now use the 2nd position for the mow-in-reverse feature.
I simply pulled my bulbs from the sockets and stored them until I need them. I can see where lights would come in handy when pushing snow in the winter, but that's about all. If I try to mow at night, I'm afraid of what the neighbors might do to me!
Even if you pull the bulbs from the headlights, make sure none of the wires can touch any of the hot exhause components or shields. My left headlight wiring was rubbing on the heat shield. Thanks to the good folks on here, I was able to find it and correct it before it became a big problem.
Enjoy that new tractor!