There are thermostats in the seat that will turn the actual heating on/off, but the indicator lights remain where you set them. Note, it won't stay on high forever, but will drop back. I've noticed that the LED indicators on mine sometimes don't light reliably, but the actual heating continues to work.
2011 535i x-drive GT, 2014 i3 BEV
Soon (hopefully!) A 2021 X5 45e will replace the above