When I set the temperature and press the centre button, it lights up Auto and I've noticed the A/C light comes on as well.

Is it supposed to? 2010 MY Vogue SE TDV8 3.6 Stornoway Grey- fully loaded

Yes, because you have climate control.

You should leave the A/C on all the time as it de-humidifies the air. This will mean a, your windows wont steam up, b, your EAS will last longer because it wont be sucking in moisture c, you won't get fur on all of your electrical connections for air bags/ecu's/switches etc, d, your leather wont go sticky and e, you wont get the impossible to clean film on the inside of the windows.