Excellent it is working David. As mentioned by others, you seem to have a relay ground issue or some kind of issue with the power supply to the window switches. I am guessing it is relay ground because of the description of the window operation working in one direction with the key off and both directions with the key on; this suggests two separate fuses are providing the power to the window switches, and it seems unlikely two things would fail simultaneously. Not definitive, just a directional suggestion to check the ground by jumping the relay black wire to a known good ground.
For the sidelights, yes, as Gus says, that is how they work. They should come on when the pull switch is pulled out though. The momentary rocker has to be pushed to turn them off. I tried to describe how this works electrically in the PowerPoint file. The description in the WSM is actually pretty good, but I had to read it several times to get it.
Here is a link to a thread that has some info on the circuit and how it works, with references to the WSM...
lotus-electrical-f38/side-lights-t17589.htmlI made up a circuit diagram and description in a PowerPoint file.
The stock Burgess switch is NLA, but the one quoted from Allied Electric fits and works fine. From other threads, I believe the GB guys got replacement switches from Sue Miller? If you find a switch problem, just order two and replace both as the shipping is probably more than the switch.
This thread also discusses the circuit, and includes excellent pictures of the headlight pull switch with the microswitch mounting plates...
lotus-electrical-f38/vacuum-head-light-switch-valve-t30012.htmlThe Lucas Make and Break relay that makes this circuit all work was located on the right side of the heater box in my '69 Federal Plus 2. Yours may be located differently. To find the correct relay, note it has a jumper wire between the coil and relay switch terminals to provide the latching action; this is a pretty unique configuration and I don't think any of your other relays will have this.
Note that there is an earlier version of the circuit that located the microswitches at the left headlight pod, so can be a bit confusing. This thread describes a bit about that setup, included here only to prevent confusion...
lotus-electrical-f38/micro-switches-t19608.htmlAssuming your side lights presently all come on when you hit the rocker switch but do not come on when the pull switch is pulled out, although the pods come up and the headlights come on? This suggests the side light microswitch is not closing electrically when the switch is pulled. I have had this issue several times by simple misalignment of the switch. I also had a damaged switch. At any case, this is probably a good place to start. Also suggests the latching relay is working correctly.
It is possible you inadvertently buggered something or the two problems are related. Basically suggest this only because your non-stock window relay setup uses red wires, and red is typically reserved for switched side light power supply. Still not 100% sure of the wiring diagram for your car, but I note some of the Plus 2S diagrams also use red for the runs to the actual lights at the corners of the car.
HTH
Stu