I turn on my headlight and both rear blinkies when I leave work at night - around 4:30. I'm with you, I don't wanna have to deal with trying to turn everything on once I'm riding. My commute home is 80% bike trails but I use the lights anyway for the streets I have to cross and to make sure I can be seen by anything on the trails and to see.
Maybe just a simple "thanks" the next time he tells you to turn it off will eventually shut him up!