You are thinking of the remote start heated seats which do come on I believe below ~9C however the way they are setup during that process the indicators are not lit. This is a different feature it literally just turns them on (and adjusts the temp) based on cabin temp automatically during normal driving. IE no remote start just get in the car, start it and drive away; its pretty nifty just not 100% sure it will work on the Yukons/Tahoes yet.
This feature I have only seen in Cadillacs thus far, my wifes SRX has it, Escalades have it etc.