Sounds like it may be switch related.
There are 2 power feeds to the headlight switch.
One is fused, and is used for parkers and pretty sure dash lights.
The one for the dashlights goes back and is fused again from memory, to be used for the dash lights and radio and stuff.
The other is main power, coming directly from the starter, it may go other places first, but it is unfused apart from the fusible link at the starter.
The headlights have an internal overload mechanism which looks after any shorts.
If you disconnect the harness from the switch, and the lights go out, it will be the switch. But again double check that the plug was on properly..
I made a lot of money going to houses replacing fuse wire when the owners said that they had already checked the fuse wire.
Ive also made money going to businesses doing easy things like turning switches on, or turning a tap on to make things work.
Double and triple check the connections.