So that's it? Your lights work fine if you bypass the switch, but they don't work if you go thru the switch?

I suspect bad switch. But unlike Amervo I would never suggest just throwing a part at a problem without diagnosing it first. Use an ohm meter and do a basic continuity test on the switch in all positions and see if the switch is opening and closing in its positions as it should. The fact that you have already replaced the switch is meaningless. New parts can indeed be defective out of the box. Use your ohm meter and test it.

And clearly you are misreading the 69 schematics. Schematics do NOT show an orange wire going to firewall connector as you state. Looking at the headlight switch schematic for 69, there is not an orange wire in sight...so I have no idea where you're getting this orange info from, and I suspect you are reading the wrong schematic, or reading it incorrectly. Here's a schematic for headlight switch:
http://thefirstgensite.com/library/electrical/69wir/69wir2.html

The light switch on the schematic shows it should have 6 wires: green, blue, brown, red, brown/white, white. There is NO orange on that list in the schematic. So why do you feel there should be an orange there? There shouldn't.

You haven't mentioned parking lights yet. Please explain your problem in more detail, because the parking lights pass thru this switch also. Do the parking lights come on in the first detent? And then the parking lights stay on but the headlights stay off at the second detent? Or do the parking lights not work at all? Again a basic continuity test will reveal whether your switch is OK.

I do agree with Amervo that "new" wire harness can also be suspect. I purchased 2 new wire harnesses for my F-bird about 10 years ago and recently installed. Found 2 errors in production so far. One taillight socket installed backwards and, and one pair of wires crossed at a firewall connector. So I have had to do a repair two locations on my "new" harness to correct production mistakes, allowing things to work correctly. So do not assume your new harness is correct either, but you absolutely must be able to follow the schematics accurately in order to verify it has correct wire and connector locations.