The bulb failure indicator is triggered by a relay that compares the current draw between the LH and RH bulbs. So if ONE bulb is out, the relay senses an imbalance in the current draw and triggers the bulb failure light on your dash. However, if BOTH bulbs are out, it's likely to be interpreted as a "balanced" current draw, consequently the failure light remains extinguished.

But you report that both the headlights and fog lights are inop. That would mean you either have a BUNCH of burned out bulbs, or there is a failure in the circuits upstream of the sensor relay, like a bad switch, bad headlight relay, etc.

A good wiring diagram might offer a clue as to what is common to both head and fog lights (like a common chassis grounding point).