Yes, it is required by law (at least in germany), as is the automatic height adjustment. But I doubt it has anything to do with them catching fire..
. Why its exactly mandatory.. no idea.. Finland has headlightwashers mandatory for all cars for like 20yrs, xenon or not. Reasons may vary, but most countries have such a rule. The automatic height adjustment is obviously for blinding reasons (as xenon is much nastier than normal h7 f.e. when it blinds you)