This is the Static Cornering Lights function. The manual seems to suggest that it's on all GTIs, not just those with Xenons, and that you don't need to enable it - it should just work. Only requirements, AFAIK, are that you have your headlights on, you're turning sharply, and doing less than 40km/h.
I don't have my GTI yet; maybe someone else who has theirs can confirm?
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