I have just started to read this thread and find it confusing. Let me state some facts, they may have been covered already.
All the fuses for the lights are in the fuse panel inside the dash.
The siren fuse is under the bonnet (hood).
I cannot see a jumped fuse in the photo nor an extra fuse, if a fuse position was not required then that position was left blank.
Flashing lights for lock/unlock are activated by the CLP/SSM in the boot (trunk). That does not mean there is something wrong with it if the siren is on the blink. 😉

There should be covers over the headlight bulb access holes. You could make your own if you found some caps from plastic piping end caps, large bottle caps etc and and tape to make a tight fit, you could make your own just using Gorilla tape, duct tape etc. Just use some imagination.