There may be laws that govern "headlight always on" mode for motorcycles when they are approved by DOT for sale, but I have never heard of the police enforcing this anywhere (except maybe CA). I have converted several of my bikes - Hondas, BMWs and Kawasakis - to Euro switchgear with a headlight on/off switch and sometimes forget to turn the light on. Never had a problem, even when stopped by the police for another reason.
And as far as fuel consumption is concerned - If you want to be technical and really, really correct
, you have a higher fuel consumption when lights are on. The load on your alternator is higher, thus requiring more power to drive it, thus needing more fuel. Whether this is measurable at all, is another question....