I think it just looks that way. In reality I think it would probably just end up being paint or black vinyl around the lights.
It's not paint or black vinyl... It looks like they pushed the bumper a little ahead right in front of the headlights and then used a black plastic filler to close the gap. The headlights aren't as flush-mounted as the stock one. It's easier to see when you can see the picture transition from the stocker to the Saleen on this link. 2015 Saleen 302 Mustang