I was in the same situation as you with the Euro Headlights. You dont have to return them. Its not problem at all. All you have to do is take the wires out of the socket and connect the wires to the headlight pins--You dont need the socket at all. The only problem there is--knowing which wire goes to which pin. It'll take some trial and error, but you'll get it to work. Im also suprised about your clear side markers? Mine fit perfectly--a perfect swap.
Hope this helped....
Monotoned Smoke Silver
97 Style Replica E420 Rims 205/55/16