My guess is that it didn't seat properly in the recepticle. Pull the light and check to see that all the pins on the connector at the back are straight. The recepticle will slide up/down to adjust for changes in the headlight angle so that it can be aimed.
There have been some instances where the refcepticle came lose and people had to remove the inner fender to manually connect the two. It may take a couple tries.
If not, possible headlight switch issue or ignition switch. In any event, you'll be getting the DMM out.
