Maybe I am missing something but Class 47 out of Manchester at night, no headlight. Turned on front headlight via PS4 controller hold right arrow, select Front headlight then X. ???
The two small markers will come on on the front. Though they are marked headlights in the cab they don't work like a car for example and illuminate everything ahead if that's what you mean. They are to show people that there is a train there.
British trains don't really have ''headlights' as such, just marker lights to indicate the train is operating. This means that they don't really illuminate the track very well. Unless you mean that they are not on in the external view?