When I've used Bug Guard, I've always sprayed down the entire front end, headlights included (although this was for day-trips when I knew I'd wash again before having to drive at night). I didn't have any of the problems JDookie had with it on plastic, so YMMV.
I had such a problem with it on a smoked bugshield that I was afraid to get it on all plastics in fear that it wouldn't come off. I was mostly worried about my paint anyway. Headlights are always easy to clean regardless.