I'm sorry, but I cannot replicate this. As matthewpow correctly said, the latest GSX version has an optimization to increase fps, which results in vehicle lights turning on only when the vehicle is moving.
It requires the latest update to be installed but, if you didn't had it, it would result in headlights to be always on instead. There's no way you could end up with no headlights at all, unless you either disabled dynamic lights in the sim, or some other unknown 3rd party addon has acted on it without your knowledge.