I hadn't noticed that, but it sort of makes sense knowing how the car's electronics work.
Almost (if not) all switches in a modern BMW do not actually turn things on/off directly...when moved, they send a message to the computer, and the computer makes the desired function happen. The car tends to remember the setting of many when you shut it off. It appears that the state of that switch is not stored in non-volatile memory, so is lost when you turn the car off (that could be changed, but would need a software change in the car - probably all of them), and when you switch it off, it obviously doesn't do anything because it recognizes it's already off, but when you turn it back to on, it sends another message to turn it on. This allows BMW (and others that use similar techniques) to use less expensive switches, but more importantly, smaller gauge wiring and often much less of it to control numerous functions since the digital messages can easily encode numerous 'states' created by a switch position with only a couple of wires. Since wiring gauge, switch contact capability, and connectors are minimized, it helps save weight and improves reliability and flexibility.
An example (it's different on the i3 for some reason and requires coding to enable in addition to a new switch) on my GT which comes with rear fog lights in the hatch panel, all it takes is changing the switch assembly to the Euro one that has that switch position, and it all works with the new functionality...it's all in the small logic chip in the panel that modifies the message sent, there are no additional wires. It may be that the typical US driver doesn't have the discipline to only use the rear (and front!) fog lights only when actually needed, that they don't offer that in the US, but they're actually in the panel in the rear of both that car and on the i3. The original demo I drove back in 2014 was a Euro version, and it had rear fog light switch. I was surprised when it wasn't' in the one I bought even though the part number on the rear hatch is the same (so has the lights) - they're just not being told to turn on because the computer is not programmed for it even if you change the switch. It annoys me seeing a bunch of people driving with their fog lights on (front or rear) in good weather. At least on the BMW, they tend to be fixed so that they aren't glaring directly into my eyes, but rear ones can be blinding in good weather to those behind and may be the reason why BMW does not include that function on (most?) of their cars sold in the USA.