The burned out bulb indicator on the dash for headlights goes on only when power is applied to the particular bulb circuit of interest. It will come on if one or both bulbs are out-of-spec, burned out, missing or incomplete circuit (open). N7 measures side/side imbalance in stereo pairs, and current over/under from an expected standard (dictated by having the correct bulb type).
This may be a clue. Here's a diagnostic: pull one head light bulb out, so for sure it won't work. Then start your car and turn on the headlight switch. If your bulb out indicator does not come on when you go to high beams... then power is not making as far as N7 (the black box that measures current imbalance for external lights). Or, N7 is having an issue (not seated fully?). Power must pass through N7 for each circuit it measures. If N7 is missing, you also get no lights.
Experience has taught me all this... check out this related thread on how I mod'ed my headlights for more light.
http://www.peachparts.com/shopforum/showthread.php?t=208306&highlight=relay