Well, I confirmed it with the shop manager today. The buzzer sounds come from a convenience module hidden behind the central console which controls a bunch of other things besides the lights on feature.
Expensive and very very very tricky to switch the buzzer to a chime warning (could be done by an expert technician, but again, at a high risk price, since the convenience module may overload and stop working completely).
I agree with all previous comments on the subject: yes, the buzzer is annoying, but that is what is really designed for (to get your attention).
The nice rhythmic bell sound from a late model Range Rover I use to drive always makes me to forget to turn off the lights. The sound is just to melodic and quiet to really pay any attention to it.