Headlights don't work I pull the knob?

From the description it sounds like a bad headlight switch. The switch works by grounding the headlamps through a relay. As they work when you try the flash to pass then it isn't fuses or bulbs and cannot be the relay. It also cannot be the ground circuit as the lights all use the same one and you have working parking lamps. That leaves the section of the headlight switch or the connector on it as the failure point. A quick way to test it would be to insert a wire into the rear of the connector at pin D (Yellow wire) and turn on the headlights, no lights? Ground the jumper wire you added, lights come on? Headlight switch is bad.

That is the "flash to pass" commonly used in Europe, you pull the stalk back and it flashes the high beams to let the driver in another vehicle know you are passing them, not used a lot in the US, sometimes to warn of police or something in the road, but they include it anyway.
To get to the switch you need to remove the end panel from the dash, it just pries loose with a trim tool, then you will remove the screws that hold the switch in and remove the switch. The wiring harness will be right there for testing. The other item would be the headlamp relay but that should be OK as the lights do come on when you use the lever and the BCM controls the relay at those times.

Pulling the stalk that way is the flash to pass, it turns on the lights independent of the other switches. Both it and the main switch do that the same way, they ground the headlight relay and turn on the lights. The fuses all power the lights and the ones for the headlights are under the hood. One powers the marker lights as well as the relay. The other two power the headlights directly. The one above your finger is the fog lamp fuse. The one your finger is on is the fuel pump. The one to the left is the marker lamps, the two to the right are the headlamps. The headlight relay is behind the glove box in another relay box.
The vacuum display is a different circuit, do the other dash lights work and the parking lights?

From service info-
"Battery voltage is applied contentiously to the headlamps through two fuse. The HDLP L fuse for the left side headlamp and the HDLP R fuse for the right side headlamp. When the headlamp switch is turned to the HEAD position, ground is applied through the headlamp switch to the BCM using the headlamp switch output circuit. When the BCM receives the headlamp switch output signal, it applies a ground to the headlamp relay coil control circuit. When a ground is applied to the headlamp relay coil control circuit this engages the headlamp relay, closing the switch contacts and applies a ground through the headlamp relay to the headlamp relay contact circuit to the headlamp dimmer switch. Depending on the headlamp dimmer switch position the ground circuit would then be applied to either the high beam headlamps or the low beam headlamp turning them on".

I think the pull switch might be bad, but testing it by pulling in the switch itself out and testing the circuit at the back if it by jumping the yellow wire to ground would tell you for sure. If you pull the light switch out and the lights don't come on, then you just touch a wire between pin D and a ground and the lights come on, you just proved that the switch is bad and changing it would repair the problem. Attached is the schematic, that circuit for pin A to pin D is what the switch does to turn on the lights. If you pull the switch and it is bad, that circuit doesn't connect. The jumper wire then completes the circuit and if the lights work then, you install a new switch #10416123 If however the jumper doesn't turn on the lights then we need to test the next component which is the relay. However you say the flash to pass (pulling the dimmer lever) works. Which should mean the relay is working as that is how the lights get the power to work from.