Otto, you say you have checked each light and they both have Hi and Lo beams and work on the bench. You say the dimmer switch is new. At least one filament is lighting after installation so you know the ground path is good. The headlight switch is providing voltage to the lights. This is the most simple troubleshooting task you could possibly have.
As Jerry said follow the voltage, something is wired wrong or broken along the way. Check all wiring routing/hook up and condition of wiring regarding below list.

1. The ammeter provides power to the headlight switch. Check that
2. The headlight switch is wired to the center terminal on the dimmer. Check that
3. The other terminals on the dimmer can be hi or lo as Bill and Gord have said. Those wires go to the fender terminal blocks. Check that
4. The terminal blocks are to split the wires to left and right headlight plugs. Check that
5. The headlight plugs must be wired correctly also. Check that
6. I'm assuming you have regular H4 style sealed beam headlights with a three prong plug.
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