Correct. There is no setting. Toyota seems to have reserved the feature for its Lexus models.
There was a past thread started by someone who bought a general purpose product on eBay or Amazon that was supposed to allow auto folding on locking but he never reported back that he got it to work. I think he said that the instructions were poor or nonexistent. It might have been this one:
I thought about trying a product from Toyota Thailand that was found to work in the European market Prius but decided not to risk frying my Sienna. I did verify that the mirror connector in my 2014 Sienna's kick panel looked the same the ones on the Euro market Prius. If you Google something like "toyota thailand auto folding mirror module", you'll get plenty of hits.
MIT (stands for "Made in Taiwan") sells mirror auto folding kits for the Prius, RAV4 and Sequoia but they don't market one for the Sienna - don't know if any of them would work on a Sienna. Here's an image of the one for the Sequoia:
The quality of MIT products is good from my limited experience. I installed MIT door open flashing safety lights in the driver's doors of our Sienna and Prius earlier this year. That kit was designed for the Prius v but fit the Sienna Limited due to both cars having the same courtesy lights at the bottom of the front doors.
It took me only a few weeks to get accustomed to pressing the mirror fold button before exiting my Sienna. It would be nice to have an auto folding feature but it's not important enough for me to pursue. I'll let you blaze the trail.
Edit: Edited to provide the correct image.