Have you checked if you have power to the headlights, e.g. unplugged the headlight and held a test light into the socket?
The only way to test a relay is to connect power to the power tab, switch power to the the tab that closes the relay, and see if the test light (remaining tab) cones one. Lots of Youtube videos out there.... much better than my couple sentences.
Or... if you have two of the same relays in the box, swap them.
Look for the Electrical Schematics of the Roxor available on this forum. They will make the job possibke in the first place.