Yes, there is a gong going off and at the same time you should get the message "LIGHTS?" (well, that's a best guess translation, since my 535i "speaks" italian) on your dot matrix display.
I don't think it's the kind of stuff that can be programmed by the dealer; being a warning message, it shouldn't be possible to override it.
Thanks God here in mainland Europe cars don't have a chime for the key in the lock...