I'm not entirely certain for the Roadster but I assume that the headlight/starter circuit is the same as the Standard/Classic.
When you are loading a tune with TuneECU or TuneBoy, you should pull the fuse to prevent the battery drain.
When you are ready to start the engine, you must insert the fuse because it serves BOTH the headlights and the starter motor. No fuse, no lights, no start. They all go together.
With that said, the smart Captains that have already fitted the Eastern Beaver H4 Headlight Relay kit have also included the on/off switch into the kit. This allows you to turn the headlights off and keep the fuse in place. In other words, you can work with TuneECU with the fuse in and the headlights off and still be able to start the engine.