I guess maybe we need to know if you are 6V or 12V, and +ve or -ve earth, and what switch you are using?
I'm running a H4/6V/-ve earth, but I don't have an indicator light to tell me either beam is on, although it's often a good idea- saves waving may hand in front to check
It has to be something simple, maybe disconnect things until it goes out?
Hence, the construction of the H4 appears to be different from the original pre-focus bulbs.
They are different, as no doubt you've discovered, the H4 earth is integrated in the 3 pin insert unit rather than the dodgy BPF setup.