The installer didn't enable it, or disabled it, for some reason. My installer said that "it's a bad idea to use this setting because if you accidentally lower the temperature in the winter, it could turn on the air conditioner". I guess it's bad to run the compressor outdoors when it's freezing out.
But if you can resist the temptation to set the thermostat too low in the winter, here's how you can enable this setting.
Tap System. There will be 5 blank squares at the bottom. Hold your finger down on the 2nd and 4th squares. This will put you into the thermostat's installation settings.
YOU CAN REALLY MESS THINGS UP HERE. Proceed at your own risk.
Go to setting #300, and set it to 1. This enables the Auto system setting.
You can find this information in the Installation Manual, which you can get here:
http://www.hydro-temp.com/help/drawings/honeywell%2069-1894ES.pdf