What Yendor said... if the Headlamp Fusible link is at earth then it is knackered.
You can't have +12 volts on one side and earth on the other of a fusible link.

Best way to fault find in a low resistance circuit like lighting is with a test lamp.
If it lights one side of the link and not the other then thats the issue.
Ditto the fuses, then the combination switch then the headlamp plug

The "blue relay on the firewall" is aftermarket if it is anything to do with the headlamps.
Many people will put relays in the lighting circuit to give more power to the bulbs and save the combination lamp.
It may also have been for aux lighting