Paul - Where did you get the bulbs from?
I have the same thing. I got 8000k bulbs off Ebay and they do the same thing, probably because they're a cheap brand. They've always done this for the past 2 years!
Here's the trick.....
Turn the switch on full to put headlights on, bulb warning thing will come up but ignore it, just leave the switch there in that position for 15secs, after 15secs turn switch 1 notch back to sidelights and flick back to headlights and watch how it will work
Saves you flicking the switch on and off like crazy!