Not sure why yours does as my bike when its running , lights on the only thing that is on is the taillight. The signals are not running lights or brake lights you have to install a conversion kit worth $ 69.00 the Harley dealer told me they sell a lot of them. Maybe us Canucks don't have them "eh"
Canadian bikes have different rear lights and a different lighting wiring harness, so I'm guessing that's why yours doesn't work the same as a US model. That's also the most likely reason that conversion kit I mentioned previously doesn't connect properly on your bike. I didn't see a note on the listing saying it wouldn't work on a Canadian bike, but obviously based on your result it isn't made for a Canadian model. Sorry about the misinformation.
No doubt it can still be done, just not as simply as it should be. I'm guessing it has to do with different lighting regulations between the two countries. If you have amber rear turn signals, to legally make them running lights I'm pretty sure you have to change to red on the rear. Amber is for the front, red for the rear when it comes to running lights. It would probably be too expensive to swap over to the US version lights, and if you did it may cause issues with the Canadian authorities. We need another Canadian to chime in here who is more familiar with this situation.
Jerry