Make sure all of your doors actually lock.....could be a failed actuator. If the door doesn’t lock because the actuator is bad the headlights will stay on
Are they plug and play? Or did you have to wire them to the battery?
When I installed my retrofits (bought them used from a user on here) I initially wired them wrong and the same thing happened. Double check your wiring!
My 05 SR5 did the same thing with leds. ( Would not turn off remotely or on the timer ) I found leds a poor choice for low beams and switched to hids. Better light and beam pattern and my headlights turn off again.