The reason we ground the circuit at the lights is to control where the circuit completes. If it does not ground there it will find a way to do it by going back thru another wire if it has to. The reason we have ground rods for buildings is to motivate where the electricity from a lightning strike goes to get to ground so it does not go thru other devices in the home.

My wire is out of car right now so i had a look.

Each headlight pair has a ground wire. There is also a ground wire near the coil, and a ground wire near the regulator.
The clearance lights in rear are ground thru it of it's frames so make sure the light frames are grounded. The front signal lights are grounded thru it's frame as well.

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