I think it is a UK/US spec thing as to why yours are not on all the time. The front signals are on all the time as a marker light. Just about every bike I've seen is like that. They are two way bulbs so if you turn the blinkers on you can still see blinkers.
On my bike, these lights used to be on solid all the time, regardless of high or low beam. Recently I replaced the switches with some aftermarket (Euro?) switches and have the same situation you describe; front markers on with low beam, off with high beam. Having the markers turn off on high beam makes sense, because if you are using high beam there should be no need to be seen by other cars, and you are using a higher watt filament which would take more power, potentially offset by having the marker lights off.
Also in high beam it is easier on your eyes to have the light in front of you versus around the front wheel. Yet another reason, it is easy to know if you are on high beam because the markers are off.