Dozer
I was told that when the RFSV wiring upgrades occurred and the fusebox was moved up into the dash, a relay was put in for the headlights, this is where it went. At some stage there was another mod to remove the relay, I am guessing the original install must have been shoddy work like much of the wiring behind the fusebox (on mine at least). Now the relay is bypassed and the male connectors on the blue wires just plug in to the female blade connectors within the relay holder in this picture, there is one below the wire on the left and one above the wire on the right.
Unfortunately yours has a different relay holder to mine so they may not be the same, but on mine the wires go into the plug beside the wire not the one below/above.
regards
David