Do thermostat-controlled, auto-adjust HVAC vents exist?
There are various degrees of a "zoned" HVAC system.

A simple zoned system will include motorized dampers in the ducts to direct air where it is needed.  e.g. If one room is too cold, but the other ones are fine, the system will shut the dampers to the other rooms, and then fire up the heater so just the one room is heated.

More sophisticated zoning systems for larger house will include multiple heating/cooling units (e.g. one for the upstairs and one for the downstairs).

Zoned systems can also work on a schedule.  (e.g. keep the downstairs of your house comfortable during the day, but direct all of the airflow upstairs at night.)

As you can imagine, the control systems for such a unit get pretty complex.  Motorized dampers everywhere, control lines to all the dampers, thermostats in the various rooms.  It all adds up to a lot of money.  It is also a lot of stuff that can break.

Because of the complexity, most HVAC contractors will avoid doing a zoned system unless absolutely necessary.  It is usually easier to install a big air handler (enough CFM to cover the whole house), and then put a few manual dampers (1/10th the cost of motorized ones) and tweak them until they are right.

EDIT:  Another option to consider is a multi-split system.  Instead of having all your ducts connected back to one central air handler unit, each room/area has its own indoor unit, with its own fan and thermostat.  All of the indoor units have refrigerant lines that are connected to the outdoor condenser unit.  Each unit can heat/cool independently.  Some systems even allow simultaneous heating and cooling (good for server rooms in an office building).  Because they are ductless, they are a good fit for retrofitting a house with no ducts.  They do not make a lot of sense in an existing house that is already ducted, though.