Okay, this is how the wiring is for the KDXs that I have seen.
You have a black for ground that goes to the bulb.
You have one yellow that goes to the switch
YOu have a red that is split, one red to the switch and one red to the headlight bulb.
Then in the back you have the regulator. I thought someone said you needed the taillight plugged in back there for that to work, but I dont think you need it. you can always run a LED light in the back since they take about no power consumption.
Other than that, most likely you are using a H4 bulb with that new headlight that is rated at 55/60w or something similar. Your stock bulb was only about 35w. Thus the yellow in the light. Try reving up the engine to see if the light gets brighter and white. If it does, then you need to either ride faster or rewind the stator.
I have the UFO Twins light on my bike, but have not gotten a good nighttime ride yet. From the little experience on the XR600 with those round lights, they are far superior to the H4 type of lights. You can also get those in 20w versions.