Mine has that setting also, and my lights don't come on until I touch the door handle. I expected, just like you, that the lights would come on when I walked up. If someone has them come on when you walk up, what did you do to enable that?
***EDIT***
Just looked in the manual and it says: "NOTE: When the "Headlight On Approach" feature is selected, it allows the adjustment of the amount of time the headlights remain on when the doors are unlocked with the key fob"
So I think that means if you unlock it with the button on the fob, the lights will stay on for 30, 60 or 90 seconds depending which you select. But it doesn't mean they will "sense" your approach and turn on automagically (though that would be cool). You need to push the fob unlock (or touch the door handle) for them to come on.