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New 2011 JCW ... when I start her up the lights move up and down and adjust.
Does this mean I have lights that also turn when I turn the steering wheel?
Not necessarily - the up/down movement is just the auto-leveling system initializing itself. The xenon lights have done that for as long as they've been an option on the MINI.
The moving up and down is what we call a pre flight check. The motors that adjust the height are doing a sweep to make sure they move correctly for the self leveling.
The way I noticed you can tell is the color of the light itself. For one if it has black housing it will not be the adaptive xenons. If the housing is chrome like, it will also not be the adaptive xenons. It will be a flat silver look and the side of the headlight washer is black. When I first got my car I saw right away that the headlights were different than my 2008 with xenons. I guess they make if a flat color so when the lights turn they do not reflect off the inside of the housing. Here is a video of mine.