You're not replacing the headlamp Roger just the H4 bulb.
The burner on its mount replaces the bulb.
The H4 socket connects into the HID loom.
The relay I think is because the HID dipping mechanism is mechanical - it has to move the focal point as there are no filaments involved, just one burner. You can hear it clicking as you operate the dip.
The fuse I guess is because the whole thing is self contained - perhaps its belt and braces.
The rectifier - if thats what it is is a mystery to me, except that I had to find somewhere to put it
Cheers
Mike