I left the lights on twice in the week because of this.

If my keys are out of the car, but I left the headlights on, there is no annoying constant beep sound.

I tested the same thing on another s2 and it worked fine.

 

Do you have your domelight set to come on when a door is opened? I'd have to double-check this, but I believe it won't beep if the doors are closed or the domelight is set NOT to come on when a door is open.