LIONHEAD, I've been having a look into the issue with your new lights and I may or may not have struck upon something. You may be able to correct me if I am wrong, but according to the following thread, the US versions of the AFS lights do not have corner assist (extra little lamps that come on at lower speeds) like the EU and UK versions have, so the ECU for the lights in your US Evoque may be detecting this difference in the lights and activating the AFS warning, as the lights may not essentially be the same.
http://babyrr.com/forum/thread-6176.html
I REALLY hope the info on the above thread is wrong, but if this is the case, then even the LHD units may not work properly for you. It may be worth mentioning to your dealer.
I also found this on the Jaguar XF forum, which is an excerpt from Topix for the facelift Jaguar XF (2012 onwards). I believe the tech used in the lights is the same as on the Evoque.
Static Bending Lamps
• NOTE: The static bending lamps are not fitted to NAS vehicles.
The static bending lamps are designed to illuminate the direction of travel when cornering at low speeds. The static
bending lamp functionality, which is controlled by the CJB and the headlamp leveling module, operates using inputs from
the steering angle sensor and vehicle speed information from the ABS (anti-lock brake system) module. The static bending
lamp is incorporated into the headlamp assembly and shares the same housing as the low beam headlamp. The design of
the lens projects a spread of light from the vehicle at approximately 45 degrees to the vehicle axis. The static bending
lamp uses a 35W Halogen H8 bulb which locates in a holder which is connected via wires to the main connector on the
headlamp housing. The holder is located in an aperture in the headlamp housing and rotated to lock. The bulb is
accessible via a removable cover at the rear of the headlamp housing.
The static bending lamps operate with a steering angle sensor CAN bus signal which is received by the CJB. The CJB
monitors this signal and vehicle speed and activates the static bending lamp bulb. When the operation parameters of the
lamp are reached, the CJB fades the static bending lamp bulb on using a PWM (pulse width modulation) voltage over a
period of approximately 2 seconds. When the lamp is switched off, the CJB fades the bulb off by decreasing the PWM
voltage in a linear manner depending on steering angle and vehicle speed. The cornering lamps can only be active for a
maximum of 3 minutes.
• NOTE: Static bending lamps only operate when the transmission is in DRIVE or in SPORT