So a few months ago, I purchased a xenon H4 off ebay. I was happy to get everything working, however I couldn't get my fog lights to work with the kit. The relay that it came with was only connected to one of the two sockets for the H4 going to the car. Strangly enough, when I put on of the regular Halogen bulbs into the other open socket with the relay on the other, the fogs lights worked fine! I began asking around, but to no avail.

 

If you bought I Hi/Low Kit like I did you will find the Lo-Beams don't work either, it will stay on Hi. The fix as you found is to put a bulb in the open socket, and zip tie it to something so it is not touching anything (it gets hot). It is a resistance problem, the car detects the lack of it and thinks a bulb is burned out and automatically switches to hi beam so you have two lights running instead of one, which is why the fog light are not working, because they turn off with the hi-beams. I'm sure you or someone could figure out how to put a resistor in line to simulate this load, but a bulb and zip tie are cheap.