The power to the HID ballast on the passenger side had a blown fuse. Although the relay was "switching" the power to the ballast properly, there was no juice getting to the ballast when it was switched on. A multimeter would have told me that. It turned out the wire between the relay and the ballast had been abraded by a pulley (so cinch up any slack in that wire!) and shorted out, blowing the fuse.
Yeah, simply putting a $5 multimeter to the headlight plug would have told you no voltage and just following wire back a couple feet would have shown the bad wire, which obviously would blow a fuse..
Yes it is a retrofit. The Golf is a 2004 TDI. The retailer from whom I purchased the HID kit (UltraBrightLights) was very helpful in providing a new bulb and ultimately a new ballast as they were under warranty.