Last time I rode it the headlight worked fine. Fired it up today for a ride and no headlights. Hi or low beam neither worked. Stopped at a dealer to get them to look at it, was told I'd have to leave it. Came home and pulled the left side cover. Sure enough blown 15a Headlight fuse. Went to auto parts store got 5 fuses for $4.25, put 1 in and I have headlights again. I wonder how long it will last and what caused it to blow?
If it didn't immediately blow again when you installed the new fuse, then all you can really assume is you don't have a dead short at this time. You may have just had a bad fuse (it happens), or you may have a pinched or bare piece of wire that only shorts out under certain conditions, or

? With the new fuse in place and the bike fired up with all the lights operating, try turning the front wheel lock to lock several times, compressing the front forks by locking the front brake by grabbing the lever firmly at low speed, actually wiggling the wiring that you can get to, etc.. If nothing pops the new fuse, then I guess you will just need to ride for awhile and see what happens. Make sure you carry some spare fuses with you. If the problem repeats, then take the bike to the dealer and have them do the diagnostics. Good luck on that one, since most Harley shops I'm aware of aren't exactly good with diagnosis, especially with intermittent problems. But even if they can't find their butt with either hand, you will need to get it documented on a work order to cover yourself before moving on to other approaches.
Jerry