they do not have to be grounded seperately, together is fine. ground them somewhere else on the bike and see what happens......i know you must have double checked your connections, but just double check all your connections one more time.
on another note, if you look at the first picture, there is a short wire for the ballast, another one that is longer for the ballast....connect the ballast to the other wire and see what you get. is the "HID connector to bulb socket in headlight bucket" (see first pic) connected well?
i am novoice to the electrical realm, but can you connect a volt meter to the end of the prongs on the ballast to see if you are getting any output?