That's right. That's how my Focus and most modern European cars work. For the very sensible reason it allows you to use fogs for what they are originally designed for: to light the road immediately in front of the car hopefully underneath the fog without reflected dazzle from using headlights against fog. It's also very handy for using the fogs as DRLs because first pull puts the fronts on. Pulling the switch a bit further puts the rears on. So you are left with the option of switching the dipped heads on, or not.