Nice! That's one less problem to deal with
Having power continuously applied to the regulator's #4 terminal would keep the regulator coil energized all the time and potentially burn it out. You can measure the voltage while the engine is running to see if the regulator is still functioning okay. It should be somewhere in the 13.5 to 14.5 V range (give or take a little) if the alternator & regulator are working okay.
As for the headlights not working, that wouldn't be directly related to a potential problem with the voltage regulator. To check the headlight circuit, you can use a voltmeter or test light to check for power at various points along the circuit. For example, check to see if the red feed wire has power going into the headlight switch. Then check the light blue wire that runs from the headlight switch down to the floor-mounted high/low beam switch to make sure that has power with the headlight switch on. And move on to checking various connection points along the tan and light green (low & high beam) wires as they run from the high/low beam switch out to the headlights. Also, check to make sure both headlights have good ground connections to the grille / front sheetmetal and that those parts have a good ground connection to the rest of the truck.