My F-150 is set up the same way. Since fords have one bulb for high and low, you have two options for HID's...you can either run a bulb that does not change (what you are describing now) or, in the case of my older truck, you can buy a bulb that has a magnet in it that refocuses the beam when you switch from high to low. Quote from DDMtuning.com: "Our High / Low HID kits come with a fused relay harness and controller that regulates the High / Low beam feature."
On my older truck, the headlights work the same way they did from the factory, but the bulb does not increase it's brightness when you change it to high, it only repositions the beam to make it shine farther. My new truck, however, isn't running a HI/LO kit and when I switch from low to high the bulbs actually cut off completely. Also when I pull the switch back to flash high and low together they cut off. When low is selected the high beam indicator light still lights up on the dash. I think I can fix it by a jumper between the power for the high and low beams but I've just gotten used to how it functions and haven't fixed it yet. Hope this helps and wasn't confusing lol.