I was pulled over a number of times by Knox TMU in my R34, once specifically because of my "blue coloured head lights" and not once defected. They were factory white Xenons by the way. Highly unusual I'd say.
For the record, even though Euro Xenon's dazzle they are auto levelling, mine are. It's not the light that causes the dazzle it's the projectors. R34's are not projectors. Hehe, dazzle, funny word.
Congrats on the new car BTW