This is too true in some cases..You get what you pay for.
Just one connector with adiquate gauge wire for the headlight circuit will cost about 10 bucks at NAPA.
You can find 4 or 5 relays with connectors at ebay for only 20 bucks. They are 100% garbage. Their female terminals are so loose in the plastic connector that 3 out of 5 may miss the male spade terminal of the relay. They might be fine for ugrading a horn relay but for something critical as headlights... no way.
If you want to do the headlights right and save money too, Go to a parts yard and chop out the relay connectors, wire, etc..that was deems adaquate for the duty.