Don't your headlights just work off your ignition switch? The first position cw from OFF is headlights/ignition and the 2nd cw position is ignition only. Fully cw is the start position. I would check the switch position, then check the connector that attaches to the lights near the hood pivot point. If your hood has ever been removed, the connector may not have been reconnected.
Typically, there is no dedicated fuse for the headlights, so it is either a bad ignition switch, broken wire, loose connector, or loose headlights or burned out headlights. Since you've never used your headlights, I doubt they are burned out. Also, since your mower is relatively new, I'd also doubt the bulbs are loose or damaged. Probably a loose connector or bad/dirty contacts in your ignition switch.