I have a 2.4 Cab Sport and I thought heated mirrors were standard.

Driving in to the City on a cold London morning and noticed the mirrors did not demist (yes, the rear demister was on)

Was this an option I missed?

Yep, you only got these along with the folding mirrors.

The US version seems to have more standard features (i.e. the heated mirrors). Why is that? Is Audi less of a luxury car elsewhere or are all other marques the same way (BMW, Mercedes, etc.)

In asia, we don't even get folding wind mirror but does have the rear heated glass.

There is a huge difference between German cars in the US and in Europe. In Europe EVERYTHING is optional. You can get a brand new S-class Mercedes - with fabric and steel wheels with hub-caps. The worst part is that, when optioned, they are much more expensive in Europe.
I was overseas and went to a local Audi dealer - they had an identical A4 sedan (that my brother had purchased a month earlier in Los Angeles) for $45,000 Euros (why does my new keyboard not have a Euro sign??? ) my brother got it for $27,000.