I have these same headlights.

They DO have the AE ballasts included in mine (they are inside the housing beneath the low beam). I confirmed this just recently.
You still need the external fused relay wiring for the angel eyes, and a connector to mate to the two pin connector in your photo. I have not found the appropriate connector yet. My 2002 X5 did not have factory wiring for AE.

The low beam connector on these headlights is for the halogen lamp it comes with. If you want to upgrade to HID xenon, you'll need to open the lights and buy the xenon upgrade harness, ballasts, and relays. The ground strap is connected internally to the low beam housing, presumably for an HID setup.

The auto leveling connector does not go to anything inside. The motors are not there in these headlights. The connector is there in case you already have the auto level motors to install into the headlight. If you open these babies up you'll see a static post which hold the bottom position of the headlights for aiming.