Hey man, from what I understand the warning light is because your HID's are pulling less amps from the BCM so the BCM thinks your bulbs are blown. This is because HID use less wattage but more likey because you are using a relay harness so the current draw is very low.
To solve this problem, I believe you will need something like this: (a 6 ohm 50 watt resistor)
You will have to wire this into your original headlight +ve wire. (This is the factory wire that you plugged into the relay harness). So one end of this resistor must be tapped into that +ve wire, and the other end should be grounded to the chassis. I believe this will simulate the correct current draw and remove your warning. You must do this to both sides. (please note, this is my understanding of this issue and is what I will be doing in the next month when I retrofit. I am by no means an automotive electrical expert, but I have done previous retrofits before.)
*EDIT: Oh the reason why the CANBUS harness you purchased didn't work was because they are not made to be used with the relay harness.