There are two relays on the right side and three relays on the left;
the one that feeds the headlights is on the right side;
of the two relays. one has three wires - this is the Turn Signal Relay;
the other is the headlight/starter Relay;
the headlight/starter relay receives power from Fuse 9 on the Blue/Yellow wire when the key-switch is on;
it outputs through the Normally Closed Terminal on the Blue wire o the headlight circuit when the relay is unenergized;
When the relay turns on (when the starter switch is operated) it transfers power through the normally open contact via the black wire to the starter solenoid and fires the starter, simultaneously breaking power to the headlight circuit.

If bike is starting you therefor MUST have power through the key-switch and fuse 9 and the relay is functioning with the starter switch to transfer that power to the starter.
It is possible there is a burned connection on the normally closed contact of the relay - or the Blue Wire is broken;
so check for 12V at the Blue wire (this will be the centre pin of the 5 of the relay) - note that key-switch must be on and the relay must be installed.
The other conceivable issue is that this location has the wrong relay installed - this one MUST be a 5-pin relay - if you have a 4-pin in that position then indeed starter would operate normally but you have no lights.

If you DO have 12V at the blue wire, that then goes to the connector that goes to the Left Switch assembly - is Blue on pin 10 at the main harness side, switches to Blue/Yellow on the side going up to the switch.
Check the connector set for either burned terminals or broken wires (or simply unplugged - sometimes the latch that locks them together gets broken)
Ok, got a chance to get back to the bike, with ignition on I have power at the blue/yellow wire and power at the blue wire in centre of plug (with relay installed) with ignition off no power on either pin. I also removed the relay and put in a test wire from those pins to eliminate the relay all together and still no headlights. So that rules out the relay.
 
Well the weekend is about over did you find anything
Not yet, process of elimination now I guess, relay seems fine so move on to the next thing in line which I think is the ignition switch. The assistance has been great tho, trying to chase the blue wire out of centre of relay plug now to see where that takes me
 
.... move on to the next thing in line which I think is the ignition switch. .

No, you're going the wrong way - confirmed power at the Blue/Yellow (and the Blue) confirms the key-switch is already good
... trying to chase the blue wire out of centre of relay plug now to see where that takes me
That takes you to the left-bar-switch - look for the connector under the tank, behind the steering head
 
I had this problem not long after what my Rocket was the relay on the right hand side had worked loose cable tied it together problem fixed.
 
No, you're going the wrong way - confirmed power at the Blue/Yellow (and the Blue) confirms the key-switch is already good

That takes you to the left-bar-switch - look for the connector under the tank, behind the steering head
Ok, back at the bike finally, chased blue/ yellow wire to the connector under tank, turns into Brown wire??
Have power there when ignition on. Nothing when ignition is off.
Brown wire disappears into the ignition switch!
 
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