My 05 D40 doesn't have an audible warning if the lights are left on and the drivers door opened. It's not a big deal for me but I am curious as to whether it should, or if anybody else's doesn't have it. Is an STX if it helps.
Its got the seatbelt buzzer (why couldnt they leave that one out ) but no headlight one. Seems a bit weird. Maybe just an oddity of the car I guess, like i said not a big issue but just made me wonder.
Not sure about our D40's but I know of a guy with a Colorado and he got all of his warning buzzers turn off by the dealer. So maybe yours has had this done for the headlights.
As for the seat belt just unplug the white plug under the seat. (Doesn't effect ABS or Airbags as some people claim).