No you shouldn't have to use the extra wires (2 are function wires, 1 input wire, and 1 constant positive). The function buttons for the headlights and cab lights are likely not set up right. You will need to figure out which function wire is connected to which light by trial and error. Go into the locomotive settings screen, then navigate to the function button set up. On the lights that aren't working, change the wire assigned to the function by tapping on the wire color button on the bottom of the screen. Exit settings and test it out. If it doesn't work, then try a different wire color on the button.
-Kevin