Lighting problem / Electrics expert required!

[His Dudeness]

There are two lots of power to the relays though, the power being switched and the power to operate the relay. You have the power being switched, as proved by looping it at the relay connector and making the headlights work. But what His Dudeness is saying is that the signal circuit, which operates the relay, may be at fault.

Yep and the horn gets it's power on that circuit too so the fact that the horn was dodgy might suggest the fuse connection is dodgy, a long shot but worth checking. The indicators are on a different circuit. They get power through "turn signal fuse". Have a look at the wiring diagram in that link.