If you look in the Menu (also in the CMA) under the SET -> PROJECTOR tab there is a drop down menu for "Projector Powerup" with three choices, Manual, Always, DMX. Make sure this setting is set to DMX to have the lamps come on when the units see DMX.
If you are still having issues after checking that, let me know.
You are correct. When set to "Manual" power up, the lamp will only strike when explicitly told to do so, either from the console, the menu, or the CMA. When set to "Always" it will strike immediately after receiving power, whether DMX is present or not. And when set to "DMX" it will strike the lamp after it has detected the presence of a DMX signal.