I spoke to my dealer about these features and some other ones as well and here is what I discovered:

1) The Gear display is only active from the AutoStick. For the purpose of showing the driver what gear they are when they are manually shifting the auto.

2) The heated mirrors are only available on Limited and SRT-6 version of the XF05. The are activited by :
A) Turning the rear defroster on
B) Turning the heater in the car on or your heated seats.

3) As for auto dimming mirror, I did not ask, how ever I remember seeing a little button uder the mirror, that could be depressed. This may de-activite/activite the auto dim feature.

4) I have question of my own. I know a standard feature in the MB world was to turn the passanger side mirror down and in when the car goes in reverse. This feature was to help with parking on streets. Since the XF is mostly a MB. Does it have the feature?