Hi, Does anybody know why my headlights would be keep flashing on after my indicator clicks off.

first place I would check is the headlights for water corrosion on the multiplugs on the back of the headlight units.. if not there check where the black earth cables mount to the chassis (ground)

headlights for water corrosion on the multiplugs

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+1

If to no avail then would whip the steering wheel off and look at the boss/stalks behind the steering wheel, I know this is a bit more fiddly BUT....I had a very similar problem when I replaced the power steering box on my GP. Immediately after changing, the indicators wouldn't self cancel and MB flashed when the indicators were on. Turned out to be a few of the pins on their metal contact counterparts were out of sync.

Hopefully for you you it'll be Andy's solution.