This is weird, or not?
 

A few years back I did the sport light conversion. I put the lights on relays and wired the two bulbs in parallel, both low beams on or both high beams on.
Fast forward to last summer. I installed a set of factory fog light along with the factory switch. The wiring was already there. Everything seemed to work normally.
This past week I noticed something weird about the lights, I thought there was something wrong.
What is happening is:
Turn on head lights,
Turn on fog lights,
Turn on bright lights, fog lights turn off. (normal so far)
This is where it gets weird.
Turn off bright lights,
Bright lights stay on,
Low beams come on,
Fog lights come on.
So, everything is on at this point !
Turn off the fog lights and it returns to normal.
It does it every time. Not really complaining, it's nice to have the extra light. Just didn't like blinding oncoming people until I figured it out. And it gets awfully dark with just the low beams.

If all your wiring is good, I'd look at the switch....they get pretty hot and can fail eventually

Looks like you made a self latching relay circuit..

If that's the case and you have relays without an integrated diode, I'd try installing a diode between the plus and the coil side of the high beam relay.
(Except if you have a switched ground system. Then it gets tricky. Maybe you could post a wiring schematic of how you did your relay set)

Here is how I wired the relays. (see diagram)
The original wiring only controls the relay coils. There is no connection between the coils and the contacts. As the multifunction switch is basically a double pole double throw push/ on push off/ hold on switch, I can't see how the high beam relay could latch.