Ok mine didn't work either, and now I have a real answer for you. I went out and took mine apart and tested things. I found that although just sitting there with the key on there is 12v power on the #2 post or line, when you snap it on, it drops below a decimal point which means there isn't enough to run the LED. That's why on mine I jumpered to the #6 post from the #2 post and I have lower light as long as the switch is off, but "on" it goes off and no upper light.
I then jumped from the brown dash lights on another switch to the #6 post and.. on or off the lower LED works. I then pulled the lead off the #3 post and slipped on the dash light and the upper LED comes on.
SO...this is what must be happening. Power for the coil on the fan's relay must go through the coil then to the thermoswitch which when closed just provides the ground for the relay coil. We just can't put any more load on that outgoing line as the coil just won't allow any more load to be pulled through it.. to even run LEDs. And I am thinking I don't want the lower LED to be pulling power through the coil because it might cause it to burn out or even be slightly engaged so I am going to run a separate dash power from another switch to the #6 post and unhook the ground from the #8 post and just not worry about and upper light. I don't want to stress the relay or it's coil in any way. Make sense?
I'm glad we discovered this because it could have been a problem for us...and others down the road...or trail. The last thing I need a hundred miles from nowhere is to have a relay fail...because of something I did...and they are a bitch to get to....lol