Always-on lights rule is a way to save money...and lives. It's just a safety matter.
I was skeptic, when I started to see the first motorbikes coming from Austria that had their lights on during the day, but now that I've seen the difference I have to say it's far better. I accept an added cost, because I know we all are avoiding a number of accidents. From an energy/money point of view, how much does it cost to change a new car because of an accident?
About the fact that light bulbs are burning faster (in the last few days I changed two of them), I think that a more careful voltage regulation could make them last much longer. Even if I turn them on manually after motor is running, and turn off before stopping motor, they usually burn at turning on. I think that adding a soft start and protecting them from overvoltage could make a big difference, although this is only a guess.
Moreover, I see that the lamp that always goes down is the normal night light (which I must use also durign the day), even if it is connected in parallel with a little one. Law allow to use a weaker light for daytime, which I don't have, but some new cars have. The logical guess is that this weaker light would have a longer life.