The no horn on lock is a setting, you can try changing it by pressing both the lock and unlock buttons at the same time (correct me if I'm wrong, haven't used the factory fob in over 3 years).

The lights on the radio and shifter are very dim. Are you checking in daylight or at night?

 

Checking at night and we can't see any of the buttons on the whole console panel when its dark outside. We end up turning on an interior light to see which button to press to change the radio station etc.

 

I would say the connector has probably come undone.

 

Any idea where said connector might be located. In the console or under the dash ?

 

Seems I have no tail lights either. Anyone know where to start looking for the connector.

 

Sorry, not sure about the connector. But no tail lights as well, and no fuses blown, sounds like a fried Body Control Unit.

 

I can't speak for the pre-'06 models but you can adjust the horn/beep/lights, etc indications in the menus on the dash screen.

You definately have a fuse, connector, or something else going on if you have NO lights on the console and NO taillights. If you can't find it quickly you really might need to visit the dealer. Dash lights are an inconvienience but taillights are a major hazard.