The load shed relay which has the headlight and some other stuff connected grounds to the hot brush of the starter. If the starter is not energized this provides a path to ground for the relay coil, thus providing current to the headlight, etc.
However, when the starter button is depressed +12v is applied to the hot brush. The load shed relay coil now has +12v applied to both ends of the coil - thus no ground. So the relay turns the headlight and stuff off until the starter button is released.