Or....have you recently replaced the starter solenoid with the one from an earlier bike? The K4-later 750, for example, had dual-contact posts on the starter solenoid that made contact for the lights while the starter was not running, opening that circuit when the start relay was pulled in. If the wire(s) get loose, dirty, corroded or not plugged together when the relay gets replaced, the lights will go out....
Just my $.02 worth...