So you ran all the lights through a relay?
Just the headlights are run through relays. However, once the relays are used, you are taking a huge load off of the headlight switch. The power for the dash lights goes through the switch as well. So my guess is that if the switch only has to turn on the relays, there is more current available to the dash lights...which makes them brighter.
And we have a winner. The headlight load no longer passes through the bulkhead as either. Less load on the cabin wire means greater efficiency of that sized wire to carry a reduced load, higher voltage levels at the instrument bulbs.
Battery is a storage device. The alternator powers the car with engine running. Anything that is running primarily when engine is running should be tapped off the alternator. Things like electric fans which can run with engine off create a decision point and the OEM wiring doesn't provide a good solution. If you read instructions and they say that you want "direct battery power", they were likely written by someone that didn't have a basic background regarding how automotive electrical works.
