I think the main issue is that the market (ebay etc) is awash with cheap HID upgrades, whilst they will work most are not E marked and are therefore illegal in Europe, although I'm only aware of one person that's ever been stopped by the police, and his were so violet in colour it was an obvious modification. 3 points and a fine and advised to change them back.
When the question is asked about '3rd party xenon headlights' I assume that the poster already has xenon and is asking about replacement bulbs.
In the case of my two other cars they both have Xenons and Audi for one recommends Xenarc bulbs which are around £80 each, I use 2 for £10 ebay ones and have even run one of those with an 'official' bulb and can see no difference whatsoever.