Auto lights cutting out when engine is on!

heap1000

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2004 2.0 tdi

I always have my lights switched to auto and they have been working fine.
The lights have not been on for a while now due to light mornings and nights.
A couple of times when the weather has got bad I have noticed my lights have not come on when I feel they should have, so I have manually turned them on.
The other day the weather was bad and it was quite dark, when I got in the car i turned my key to the point that just turned on the electrics the lights came on also had the green light icon lit on the dash. When I turned the ignition again to start the engine the lights and green icon went out! Again I had to manually turn the lights on.
I tried this again once I got to my destination and got the same result.
Seems like something is cutting the lights out?