sorry i was sure ther,d be other relays for the lights but according to that diagram there is none apart from the one at the junction box .
so if the wiring , fuses + bulbs etc are good then that can only leave the junction box relay as a source of your problems
back to basics ,before throwing parts at it check and recheck every connection with the meter for continuity and earth
power into relay , power out to switch
power to headlamps and main beam indicator from switch
you have a tail light , horn , indicators and it starts so most of your junction box is already good and you are getting power from the alternator [ the brown feed }