The lights should dance every single time you start the car. This is the auto-leveling process. Since HIDs are bright, if they are pointed too high, the people in front of you will be blinded and extremely annoyed. The auto leveling process corrects for significant shifts in weight which may cause the car to be pointed up slightly (i.e. carrying a large load in the trunk).
That being said, when you drive, the lights turn left and right to corner. They are not supposed to point up and down also. Our cars aren't special enough to do that (high end luxury cars will activate high beams automatically and deactivate them if a car is detected in front of you).
As for the "lower turning lights", I believe you are referring to the fog lights acting as cornering lights? That needs to be activated via vag com