I do see what the both of you mean, and if the "light-out" indicator measures resistance in each circuit then they both would indeed cancel each other out, making this an easy fix. The only reason why I think this isn't the answer to the problem is because I did have both headlight bulbs out in the past at the same time and I do not recall the "light-out" indicator going out, it stayed on. I'll test the circuit in the next day or so.

As far as driving with the fog lights on, I totally agree with you with all you said. All I can say is that the beam pattern on the headlights is that bad, where the fog lights improve the light output under all conditions. I will go as far as even suggesting that the foglights, on without headlights, are brighter and spread light to a larger, further area than the headlights, making the headlights of no use at all.

__________________
1992 Mercedes-Benz 400E
2002 Mercedes-Benz ML500