Over the three years I've had the car, I've had both sides replaced under warranty - one side was for a single LED that failed (the top most one on the passenger side) and then a couple of months back the other side xenon failed, with the same message as you describe.
The slightly strange thing with this was that it failed about 20 minutes into a 3 hour journey and I tried playing with the headlight switch on the dash, switching from auto to off and also to sidelights or main beam on (i.e. turn switch to the right). Each time the xenons should come on, they both did, but the right hand one (drivers side in the UK) failed after around 30secs to 2 minutes. This happened throughout the journey and would never stay on, but did come on each time initially.
Took it in to the dealer and the entire headlight unit was replaced under warranty. The dealer did mention that when one xenon fails, the advice from Audi in Germany is to replace them as a pair, but as I'd already had the other one done, the dealer wouldn't cover it again.
Worth asking your dealer though as you ought to get a pair of new headlight units (around ÂŁ280-300 each in the UK).
Hope this helps.