If it isn;t a relay it COULD be a bad spider. One of the ones in the nacelle harness that Yamaha claims doesn't cause any problems HAS caused problems for several owners..
Plug the bike back together, put a voltmeter from battery negative to headlight negative - start the bike and if you see 12-14 volts between the two ground points file a report with the NHTSA and call Yamaha to complain.
Let me give all an update. Bulbs are good with using a jumper connected to 12V to test each filment on both bulbs. The big gatcha here is required a ground jumper. Was able to open the back of the left light rear wiring connector and jumper a ground and place 12V on the hi lead comming from (ref 2006 Wiring Diagram (2/2) Component #95 , Dimmer Relay). This caused both light to come on.
You are correct Sir, I guess this is a spider. There appears to be 28 Ohms resistance to frame ground. My bike is a 2007 and I have had the harness recall done. Called a good dealer and they said had not heard of any problems, they will call Yamaha tech support this comming Tuesday. I never did get around to finding and testing the light on/off relay. One strange think is I could not get the low beam to come on with the ground jumper connected and placing 12V on the low wiring comming of the Dimmer Relay harness, could have been cockpit trouble on my part, that bothers me a bit.
I will try and see if the light and fan harness are still being produced by a forum member. If any one knows please post. I am not sure I will ever get all the plastic back together.
Thanks for all of those who posted.